HPI Forecast Validation Report
HPI Forecast Validation Report - February 2021
The CoreLogic HPI Forecast Validation Report analyzes the results of the HPI Forecast versus the actual HPI results over a 12-month period, comparing our forecasted HPI for November 2020 (made in November 2019), with the actual HPI Index results for November 2019.
This bi-annual report includes:
- Comparison of the National Forecasted HPI Versus the Actual HPI
- Forecasted Versus Actual Results for the Most Populous CBSAs
- Analysis of Overvalued and Undervalued Markets
- And much more
The CoreLogic HPI Forecast is a projection of home prices using the CoreLogic HPI and other economic variables. Values are derived from state-level forecasts by weighing indices according to the number of owner-occupied households for each state.
HPI Validation Forecast Methodology
Each month, CoreLogic publishes the CoreLogic Home Price Index. The HPI contains the current and historical index values going back to January 1976. There is a 5-week lag between the HPI release date and the most current index value.
As new sales transactions are recorded and made available to the HPI, index values for previous months are restated to reflect the new sales data. Given the varying rates at which counties record sales transactions, all historical HPI values are subject to revision. Large restatements will, in general, be limited to the last 3 months of index values.
HPI Version 4.0 was first calculated in April 2016 and first published in June 2016. Each month, CoreLogic stores the published HPI for future back testing purposes.
HPI Forecast Data
Each month, CoreLogic publishes the CoreLogic HPI Price Forecasts. The HPI Forecast contains the predicted monthly HPI values for the ensuing 30 years.
HPI Forecast Version 4.4 was first calculated in April 2016 and first published in June 2016. Each month, CoreLogic stores the HPI Forecast for future back testing purposes.
Each month, CoreLogic conducts an ex-post back-test to determine how accurately the HPI Forecast is predicting the HPI increase 12 months into the future. The analysis is done for Single Family Combined at the national and state level as well as for the largest 50 CBSAs.
TThe back-test analysis compares the actual HPI increase in the preceding 12 months to the HPIF predicted increase from 12 months earlier. For example, we compared the actual HPI increase from November 2019 – November 2020 with the increase forecast by the HPI Forecast. Because of the HPI revisions, we back-test using HPI values after they have undergone 1 month of revision (i.e., we use index values from the prior release month.) In the “Top Markets with large degree of absolute change” analysis, the degree of change was calculated by determining the absolute difference between the index at the beginning of the time period and the index at the end of the time period.
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