In this paper, we apply the ARMA-GARCH model to Hong Kong real estate market. We analyzed the monthly data of housing, office retail and factories from February 1993 to February 2019. The result of ARCH LM test indicates that volatility clustering is shown in there four kinds of real estate. The price volatility of housing is influenced by foreign exchange rate, especially the USD exchange rate. The commercial real estate market shows different, they are all influenced by unemployment. All these real estate shows limited inflation hedging ability in a short period. The result of the EGARCH model shows there were no asymmetric effects in the real estate market.
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