Uncovering volatility dynamics in daily REIT returns

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Title: Uncovering volatility dynamics in daily REIT returns
Authors: Cotter, John
Stevenson, Simon
Permanent link: http://hdl.handle.net/10197/1239
Date: 2004
Online since: 2009-07-09T11:02:14Z
Abstract: Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-04-21
Subject LCSH: Real estate investment trusts--Econometric models
Analysis of variance
Risk--Econometric models
Other versions: http://www.ucd.ie/bankingfinance/docs/cotter_stevenson_reit_volatility.PDF
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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