Multivariate modeling of daily REIT volatility

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Title: Multivariate modeling of daily REIT volatility
Authors: Cotter, John
Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1197
Date: 25-Apr-2005
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
Copyright (published version): 2005, Centre for Financial Markets
Subject LCSH: Real estate investment trusts--Econometric models
Analysis of variance
Risk--Econometric models
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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