Modeling Long Memory in REITs

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Modeling Long Memory in REITs

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Cotter, John
Stevenson, Simon

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John Cotter

Abstract

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a market equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence. Trading volume is found to be strongly associated with long memory. The results do however suggest differences in the findings with regard to REITs in comparison to the broader equity sector.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3500.

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Date of creation: 2007
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Handle: RePEc:pra:mprapa:3500

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G0 - Financial Economics - - General

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-06-18 (All new papers)
NEP-ETS-2007-06-18 (Econometric Time Series)
NEP-RMG-2007-06-18 (Risk Management)

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Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]
Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
Devaney, Michael, 2001. "Time varying risk premia for real estate investment trusts: A GARCH-M model," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 335-346. [Downloadable!] (restricted)
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Other versions:
- Cotter, John & Stevenson, Simon, 2005. "Multivariate Modeling of Daily REIT Volatility," MPRA Paper 3524, University Library of Munich, Germany. [Downloadable!]
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Other versions:
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