Univariate GARCH Models for Forecasting Real Estate Volatility and Risk Prediction
The “Fundamental Review of the Trading Book” calculates the capital requirements using Expected Shortfall (ES) backtests since Value at risk (VaR) neglects losses in the tail. Additionally, real estate investments have increased significantly, which warrants an exploration of the asset class. This study applies eight different univariate GARCH models to six distinct property indices; Global, Asia
