Multivariate modeling of daily REIT volatility

This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng
volatility and correlations in their portfolio selection. The results illustrate the differences in results when
higher frequency daily data is tested in comparison to the monthly data that has been commonly used in
the existing literature. The linkages both within the REIT sector and between REITs and related sectors
such as value stocks are weaker than commonly found in monthly studies. The broad market would appear
to be more influential in the daily case.