Research On The Volatility Characteristics Of Real Estate Stock Index Based On Survival Analysis

Since vigorous development of housing finance,China's economy has maintained the development potential of the world's attention,which has greatly improved the people's happiness.Meanwhile,the hidden problems and risks of the real estate industry under the rapid development are increasingly prominent: investment bubble,high housing price and leverage ratio.So the government has continuously issued various macro policies to stabilize the housing market,hoping to establish a mature and standardized long-term mechanism.Nowadays,the rise and fall of estate industry have become a double-edged sword that affects China's economic development.Therefore,the research of property index as "real estate indicator" undoubtedly has far-reaching significance.we make use of the survival model to study the fluctuation characteristics of real estate index.Firstly,we carry out the analysis and research on the continuous rise and fall of the stock index and the rate of sustained return starting from the daily return rate of the Shanghai Stock Index(000006)2010-2017.For the days of continuous rise and fall,we can obtain and compare three important functions in two sample time intervals: survival function,probability density function and risk rate function,and calculate the profit time interval of investors in 2 days or so.For continuous rate of return,gamma distribution is the first to be combined.The empirical results show that the gamma distribution is quite good.Then,we deduce the probability of continuous yield conditional probability based on the gamma distribution,and get the conclusion that the historical yield has an impact on the future yield.Next we compare the differences in the fluctuation characteristics of the two sample periods and briefly explore the hidden policy environment factors.Finally,analysing the influence of some variables as the volume etc for constant yield,we obtain that both variables have positive linear relation with sustained yield and also give conditional probability of sustained yield in different variable values.The work done in this paper can enable investors to fully understand the development of the real estate industry under macro-control,and provide a reference for investment technology analysis,so that investors can take a more rational investment decision.