過去三、四十年，台灣的房地產市場是一個價格波動相當高的市場，而隨著經濟的蓬勃發展，房地產投資金額愈來愈多，雖然房地產投資被認為是個風險較低，且具保值功能的優良的投資標的，但是仍不忽略它的投資風險。本研究針對1973年至2002年近30年台北市成屋及預售屋季報酬率，由GARCH模型模擬投資風險的波動情形。

依據實證結果，台北市成屋市場各期風險不具相關性，無法進一步以GARCH模型模擬其風險波動。預售屋市場各期的風險具有相關性，能以ARMA(4,4)-GARCH(1,1)模擬房地產風險波動行為，台北市預售屋投資風險並非固定，條件變異數受到前期波動及前期風險影響是與時具變。未預期事件發生後，對下一期波動持續性有86%影響力，六期後仍具有約40％的能量。並且由條件變異數可觀察投資具波動叢聚現象，投資風險在1973至1975年、1979至1983年及1987至1990年風險持續在3至4年明顯高於一般時期。許多文獻發現台灣房地產市場發生數次結構性改變，結構性轉變可能會產生風險貼水影響報酬率，在控制結構性轉變對的條件平均方程式影響後，仍可用GARCH(1,1)模擬預售屋投資的波動行為，但結構性轉變並未顯著有風險貼水效果。

House Price in Taiwan is very volatile during the past few decades. As Taiwan go into enormous boom, more and more amount of money invest in the house market. Although house investment is considered as a good investment tool with low risk and inflation hedge properties, its risk can not be underestimated. Therefore, by using the GARCH model, this paper tries to analyze volatilities of investment return in the Taipei housing market from 1973 to 2002. For existing housing, we are not able to use GARCH to model investment volatility because of uncorrelated term risks. On the contrary, pre-sale housing contains correlated term risk. We adopt ARMA(4,4)-GARCH(1,1) to model the investment volatility of pre-sale housing. The investment risk of pre-sale housing is not constant but is time-varying. When an unexpected event happened, the shock will persist but decay from 86 percent in the next term to 40 percent in the sixth term. And we can observe volatility cluster phenomenon from the graph of conditional variance. During 1973 to 1975、1979 to 1983 and 1987 to 1990, the risks are higher than other period. Because previous studies commonly suggest some structural changes in the Taiwan housing market, we also control the risk premium affected by the structural changes in our model. We found ARMA(4,4)-GARCH(1,1) can still model the investment volatility process of pre-sale housing, but there is no evidence of risk premium caused by structural changes.

第一章　緒論…………………………………………………………1　　
第一節　研究動機 ………………………………………………1
第二節　研究目的 ………………………………………………4
第三節　研究對象 ………………………………………………5
第四節　研究流程 ………………………………………………6

第二章　台灣房地產市場……………………………………………8
第一節 台灣房地產投資風險 …………………………………8
第二節 台灣房地產市場的演進………………………………14

第三章　文獻探討 …………………………………………………17
第一節 房地產風險及波動性…………………………………17　 第二節 房地場市場的效率性 ……………………………………22
第三節 ARCH與GARCH模型及其應用 …………………………25

第四章 理論與實證模型 …………………………………………29
第一節　理論背景………………………………………………29
第二節 實證方法與模型………………………………………32
第五章 實證結果及分析……………………………………………43
第一節　資料來源及處理………………………………………43
第二節 實證結果分析…………………………………………50

第六章　總結、研究建議及研究限制 ……………………………62
第一節　總結……………………………………………………62
第二節 研究建議………………………………………………65
第三節 研究限制及後續研究建議……………………………67


附錄 …………………………………………………………………70
附錄A 民國61年至92年政治環境對應房地產景氣之整理 …70
附錄B ARMA之p、q落後期數選取標準 ………………………73

參考文獻 ……………………………………………………………74
中文………………………………………………………………74
英文………………………………………………………………76

參考文獻
中文部份
1.太平洋房屋企研室新聞稿，2000年10月
2.中華民國經濟年鑑，1986年至1999年。
3.中華民國行政院主計處國富統計，2002年。
4.何如茵，2001，台灣金融控股公司申設宣告效果之研究，銘傳大學金融研究所碩士論文。
5.吳森田，1994，「所得、貨幣與房價-近二十年台北地區的觀察」，住宅學報，第2期，pp49-66。
6.空間雜誌，第42期至121期
7.林美蓮，2000，高頻率股市報酬波動性之ANN-GARCH Model，交通
大學經營管理研究所碩士論文。
8.林秋瑾與黃佩玲，1995，「住宅價格與總體經濟變數關係之研究---以向量自我迴歸模式(VAR)進行實證」，政大學報，第71期，pp143-160。
9.林秋瑾，1996，「台灣區域性住宅價格模式之建立」，政大地政學報，第1卷第1期，pp29-49。
10.林秋瑾,1998,「預售屋與成屋住宅價格關係之分析—市場效率之驗證」，管理學報，第十五卷第四期，pp643-664。
11.林祖嘉，2000，「亞洲金融風暴對台灣住宅市場與住宅金融之影響與衝擊」，現代化研究，第21卷，pp44-61。
12.林楚雄，1998，「不對稱GARCH模型之建立：我國股票市場之實證
研究」，管理學報，第16卷第3期，pp479-515。
13.林勝益，1992，房地產景氣預測探討，成功大學企業管理研究所碩士論文。
14.林德威，1999，兩稅合一制對台灣上市(櫃)股票除權除息行為影響之實證研究，臺灣大學/財務金融學研究所碩士論文。
15.施金鳳(2003)，財政政策對不動產業股價之影響-以「土地增值稅減半」
為例，佛光人文社會學院/管理學研究所碩士論文。
16.卓輝華，1994，房地產市場景氣發展，台北：北星圖書出版。
17.洪士王民（1994），台灣市場不動產風險因子存在之研究，台灣大學商學研究所碩士論文。
18.段怡君，1992，不動產投資報酬與風險相關性之研究，台灣科技大學管理研究所碩士論文。
19.張炳耀、林淑華、葉盛、鍾世靜與鄭麗玲，1993，「住宅價格變動原因之探討」，中央銀行季刊，第十五卷第四期，pp18-55。
20.張金鶚，1997，房地產投資與決策分析－理論與實務，台北：華泰書局。
21.張金鶚、林秋瑾與王建安，1995，「房地產景氣與總體經濟景氣關係之研究」，行政院國家科學委員會研究計畫成果報告。
22.張金鶚、林秋瑾與楊宗憲，1995，「台灣地區住宅價格指數之研究」，經建會研究計劃。
23.張慈佳，2000，政治景氣環境對房地產價格影響之研究，政治大學地政所博士論文。
24.張峰旗，1998，台北市房地產價格之研究，台灣大學商學研究所碩士論文。
25.陳力維，2000，台灣房地產價格變動因素之研究，淡江大學/財務金融所碩士論文。
26.陳心一，1997，短期匯率預測：ARIMA與GARCH模型之比較分析，
中山大學財管研究所碩士論文。
27.陳秋鋤，1980，台灣房屋建築循環之研究，文化大學經濟研究所碩士論文。
28.陳明吉，1990，「房地產價格變動因素之研究」，台灣銀行季刊，pp220-244。
29.張炳耀、林淑華、葉盛、鍾世靜與鄭麗玲，1993，「住宅價格變動原因之探討」，中央銀行季刊，第1卷第4期，pp18-55。
30.彭建文，2000，台灣房地產景氣循環之研究-生產時間落差、宣告效果、總體經濟之影響，國立政治大學地政研究所博士論文
31.黃佩玲，1994，住宅價格與總體經濟變數關係之研究－以向量自我迴歸模式(VAR)進行實證，政治大學地政學系碩士論文。
32.楊雅婷，2003，考慮結構性改變之房價檢測與分析-以台北縣與台北市住宅價格為例，政治大學地政所碩士論文。
33.鍾助昌，1995，匯率動態型為之研究－自我迴歸條件異質變異數分析法，國立中山大學財務管理所碩士論文。
34.黃瓊瑩及林秋瑾，2004，「購屋者住宅投資風險衡量之研究」，2004年中華民國住宅學會論文集，pp1-16。
35.楊澤泉教授不動產投資學上課講義
www.ba.ncku.edu.tw/teacher/yong/REI/re_principal_YMCA.doc
36.經濟日報， 1986年至1999年。
37.蔡怡純與陳明吉，2004，「台北地區住宅市場結構性轉變與價格均衡調整」，都市與計畫，第31卷第4期，pp365-390。
38.叢文豪，1993，影響不動產報酬率之因素及其敏感度之研究，台灣大學商學研究所碩士論文。
西文部份
39.Bai, J. and P. Perron, 1998, “Estimating and testing linear models with multiple structural changes”,Econometrica, 66(1),pp47-78.
40.Baillie, R. T., Ching-Fan Chung and Margie A. Tieslau, 1996, “Analysing inflation by the fractionally Integrated arfima-garch model”, Journal of Applied Econometrics, Vol. 11, pp23-40.
41.Black, F., 1976, “Studies of stock, price volatility changes”, Proceedings of the American Statistical Association: Business and Economic Statistics Section, 177-181.
42.Bollerslev,T., 1986, “Generalized autoregressive conditional heteroskedasticity”,Journal of Econometrics, Vol. 31, pp307-328.
43.Bollerslev, T., 1987, “A conditionally heteroskedastic time series model for speculative prices and rates of return”, The Review of Economics and Statistics, Vol. 69, pp542-547.
44.Bollerslev, T., Ray Y. Chou and Kenneth F. Kroner, 1992, “Arch modeling in finance: a review of the theory and empirical evidence”, Journal of Econometrics, Vol. 52, pp5-59.
45.Buckley, R. and J. Ermisch, 1982, “Government policy and house prices in
the United Kingdom: an econometric analysis”, Oxf. Bull. Econ. Stat., Vol.
44, pp273–304.
46.Case, R. J. and Karl E. Shiller, 1989, “The efficiency of the market for single-family homes”, American Economic Review, Vol.79, pp125-37.
47.Chen, Ming-Chi, and Kanak Patel, 2002, “An empirical analysis of determination of house prices in the Taipei area”, Taiwan Economic Review, 30(4), pp563-95.
48.Chen, Ming-Chi, Yuichiro Kawaguchi and Kanak Patel, 2004, “An analysis of the trends and cyclical behaviours of house prices in the Asian markets”, Journal of Property Investment & Finance, Vol. 22, pp55-76.
49.Chen, Nan-Kuang, 2001, “Asset price fluctuations in Taiwan: evidence from stock and real estate prices 1973 to 1992”, Journal of Asian Economics, Vol. 12, pp215-32.
50.Chiang, Thomas C. and Sheng-Yung Yang, 2003, “Foreign exchange risk premiums and time-varying equity market risks”, International Journal of Risk Assessment and Management, Vol. 4, pp 310.
51.Clapp, John M. and Carmelo Giaccotto, 1994, “The influence of economic variables on local house price dynamics”, Journal of Urban Economics, Vol. 36, pp161-183.
52.Clapp, John M., Walter Dolde, Dogan Tirtiroglu, 1995, “Imperfect information
and investor inferences from housing price dynamics”, Real Estate Economics, Vol 23, pp239-70.
53.Clapp, J. M..and Giaccotto Carmelo,1998, “Residential hedonic models: a rational expectations approach to age effects”, Journal of Urban Economics, Vol. 44, pp415-437.
54.Crawford, Gordon W., Michael C. Fratantoni, 2003, “Assessing the forecasting
performance of regime-switching ARIMA and GARCH models of house prices”, Real Estate Economics, pp223-43.
55.Dolde, W. and Dogan Tirtiroglu, 1997, “Temporal and spatial information diffusion in real estate price changes and variances”, Real Estate Economics, Vol. 25, pp 539-565.
56.Dolde, W. and Dogan Tirtiroglu, 2002, “Housing price volatility changes and Their Effects”, Real Estate Economics, Vol. 30, pp 41-66.
57.Devaney, Michael, 2001, “Time varying risk premia for real estate investment trusts: A GARCH-M model”, The Quarterly Review of Economics and Finance, Vol. 41, pp335-346.
58.Dickey, D. and W. A. Fuller, 1979, “Distubution of the estimation for autoregressive time series with a unit root”, Jounal of American Statical Association, Vol. 74, pp427-31.
59.Donaldson, R.G. and M. Kamstra, 1997, “An artificial neural network-GARCH model for international stock return volatility”, Journal of Empirical Finance, Vol. 4, pp17-46.
60.Elyasiani, Elyas and Iqbal Mansur , 1998, “Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model”, Journal of Banking & Finance, Vol. 22, pp 535-563.
61.Engle, R. F., 1982, “Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation”, Econometrica, Vol. 50, pp 987–1007.
62.Engle, Robert F., David M. Lilien and Mark Watson, 1985, “A dymimic model of housing price determination”, Journal of Econometrics, Vol. 28, pp307-326.
63.Engle, Robert, 1990, "Discussion stock market volatility and crash of'87", The Review of Financial Studies, Vol. 3, pp103-106.
64.Engle, R.F., V. K. Ng, 1993, “Measuring and testing the impact of news on volatility”, Journal of Finance, Vol.48, pp1749-1778.
65.Fama, Eugene, 1965, “Portfolio analysis in a stable paretian market” Management Science (pre-1986), Vol.11, pp404-419.
66.Fama, Eugene F., 1970, “Efficient capital markets: a review of theory and empirical work”, The Journal of Finance, Vol. 25, pp383-417.
67.French, K. R., G.W. Schwertand and R. F. Stambaugh, 1987, ”Expected Stock Returns and Volatility,” Journal of Finance Economics, Vol. 19, pp3-29.
68.Gau, G.W., 1983, "Efficient Real Estate Markets: Paradox or Paradigm?", AREUEA Journal, 15(2), pp.1-12.
69.Gau, G. W., 1985, “Public Information and Abnormal Returns in Real Estate Investment”, AREUEA Journal, 13(1), pp15–31.
70.Glosten, L., R. Jagannathan, D. Runkle, 1993, “On the relation between the expected value and volatility of the nominal excess return on stocks”, J. Finance, Vol. 48, pp1779-1801.
71.Gujarati, Damodar N., 2003, Basic Econometrics, pp835-865.
72.Haan, Wouter J. den and Scott A. Spear, 1998, Volatility clustering in real interest rates theory and evidence , Journal of Monetary Economics, Vol. 41, pp431-453.
73.Hans, Philip Franses and Hendrik Ghijsels, “Additive outliers, GARCH and forecasting volatility”, International Journal of Forecasting, Vol. 15, pp1-9.
74.Haugen, R. A., E. Talmor and W. N. Torous, 1991, “The effect of volatility changes on the level of stock prices and subsequent expected returns”, Journal of Finance, Vol.46, pp985-1007.
75.Hendry, D. and K. Wallis, 1984, “Econometric modelling of house prices in the United Kingdom”, Econometrics and Quantitative Economics, pp211–252.
76.Hull, John and Alan White, 1987, “The pricing of options on assets with stochastic volatilities”, Journal of Finance, Vol.42, pp281-300.
77.Kuo, Chiong-Long, 1996, “Serial correlation and seasonality in the real estate market”, Journal of Real Estate Finance and Economics, Vol.12, pp139-62.
78.Jacobsen, Ben and Dennis Dannenburg, 2003, “Volatility clustering in monthly stock returns”, Journal of Empirical Finance, Vol. 10, pp 479-503.
79.Linneman, Peter, 1986, “An empirical test of the efficiency of the housing market”, Journal of Urban Economics, Vol. 20, pp 140-154.
80.Liow, Kim H., 2004, “Time-varying macroeconomic risk and commercial real estate: an asset pricing perspective”, Journal of Real Estate Portfolio Management, Vol. 10, pp47-57.
81.Malpezzi, S., 1999, “A simple error correction model of house prices”, Journal of Housing Economics, Vol 8, pp27-62.
82.Mankiw, N. Gregory, David N. Weil, 1989, “The baby boom, the baby bust, and the housing market”, Regional Science and Urban Economics, Vol. 19, pp235-258.
83.McCulloch, W. S. and W. Pitts, 1943, “A Logical Calculus of the Ideas Immanent in Nervous Activity”, Bulletin of Mathematical Biophysics, Vol. 5, pp115-33.
84.Meen, G., 1990, “The removal of mortgage market constraints and the implications for the econometric modelling of UK house prices” Oxf. Bull. Econ. Stat., Vol. 52, pp1–23.
85.Nellis, J. and J. Longbottom, 1981, “An empirical analysis of the determination of house prices in the United Kingdom”, Urban Stud.,Vol. 18, pp9–21.
86.Nelson, D.B., 1990, “Stationarity and persistence in the GARCH(1, 1) model”, Econometric Theory, Vol.6, pp318–334.
87.Nelson, D.B., 1991, ‘Conditional heteroscedasticity in asset returns: a new approach”, Econometrica, Vol. 59, pp347–370.
88.Michael, Y.H. and Tsoukalas Christos, 1999, “Combining Conditional Volatility Forecast using Neural Networks: an Application to the EMS Exchange Rate”, Journal of International Financial Markets Institutions and Money, Vol. 9, pp.407-422.
89.Richard, Meese and Wallace Nancy, 1994, “Testing the Present Value Relation for Housing Prices: Should I Leave My House in San Francisco?”, Journal of Urban Economics, Vol. 35, pp 245-266.
90.Schwert, W., 1989, “Test for Unit Roots :A Monte Carlo Investigation”, Journal of Business and Economic Statistics, Vol. 7, pp147-159.
91.Tirtiroglu, Dogan, 1992, “Efficiency in housing markets: Temporal and spatial dimensions”, Journal of Housing Economics, Vol. 2, pp276-292.
92.Whitehead, C., 1974, “The UK housing market: An econometric model”, Saxon House.