TY - JOUR
T1 - Dynamic spatiotemporal ARCH models
AU - Otto, Philipp
AU - Doğan, Osman
AU - Taşpınar, Süleyman
N1 - Publisher Copyright:
© 2023 Regional Studies Association.
PY - 2024
Y1 - 2024
N2 - Geo-referenced data are characterised by an inherent spatial dependence due to geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, the temporal effect, (ii) the spatial lag of the log-squared outcome variable, the spatial effect, and (iii) the spatiotemporal effect on the volatility of an outcome variable. We derive a generalised method of moments (GMM) estimator based on the linear and quadratic moment conditions. We show the consistency and asymptotic normality of the GMM estimator. After studying the finite-sample performance in simulations, the model is demonstrated by analysing monthly log-returns of condominium prices in Berlin from 1995 to 2015, for which we found significant volatility spillovers.
AB - Geo-referenced data are characterised by an inherent spatial dependence due to geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to describe the effects of (i) the log-squared time-lagged outcome variable, the temporal effect, (ii) the spatial lag of the log-squared outcome variable, the spatial effect, and (iii) the spatiotemporal effect on the volatility of an outcome variable. We derive a generalised method of moments (GMM) estimator based on the linear and quadratic moment conditions. We show the consistency and asymptotic normality of the GMM estimator. After studying the finite-sample performance in simulations, the model is demonstrated by analysing monthly log-returns of condominium prices in Berlin from 1995 to 2015, for which we found significant volatility spillovers.
KW - GMM
KW - Spatial ARCH
KW - house price returns
KW - local real-estate market
KW - volatility
KW - volatility clustering
UR - http://www.scopus.com/inward/record.url?scp=85174395962&partnerID=8YFLogxK
U2 - 10.1080/17421772.2023.2254817
DO - 10.1080/17421772.2023.2254817
M3 - Article
AN - SCOPUS:85174395962
SN - 1742-1772
VL - 19
SP - 250
EP - 271
JO - Spatial Economic Analysis
JF - Spatial Economic Analysis
IS - 2
ER -