Options
Multivariate modeling of daily REIT volatility
Author(s)
Date Issued
2005-04-25
Date Available
2009-06-16T15:55:09Z
Abstract
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.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-05-04
Copyright (Published Version)
2005, Centre for Financial Markets
Subject – LCSH
Real estate investment trusts--Econometric models
Analysis of variance
Risk--Econometric models
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
Owning collection
Views
1711
Acquisition Date
Mar 19, 2024
Mar 19, 2024
Downloads
378
Acquisition Date
Mar 19, 2024
Mar 19, 2024