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Multivariate Modelling of Daily REIT Volatility

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  • John Cotter

    (University College Dublin, Ireland)

  • Simon Stevenson

    (University College Dublin, Ireland)

Abstract

This paper examines volatility in REITs using 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-varying volatility and correlations in their portfolio selection. The results illustrate the difference 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.

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Bibliographic Info

Paper provided by Geary Institute, University College Dublin in its series Working Papers with number 200517.

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Length: 31 pages
Date of creation: 24 Jun 2011
Date of revision:
Handle: RePEc:ucd:wpaper:2005/17

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  1. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
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