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Multivariate Modelling of Daily REIT Volatility

Author

Listed:
  • 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.

Suggested Citation

  • John Cotter & Simon Stevenson, 2011. "Multivariate Modelling of Daily REIT Volatility," Working Papers 200517, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:2005/17
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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