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Modelling Long Memory in REITs

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  • John Cotter

    (University College Dublin, Ireland)

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 non- REIT equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence, in contrast to the actual return series. 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 which may be due to relatively thin trading during the sample period.

Suggested Citation

  • John Cotter, 2011. "Modelling Long Memory in REITs," Working Papers 200614, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:2006/14
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Long Memory; FGARCH; REITs;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General

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