Abstract - Multivariate Modeling of Daily REIT Volatility
This paper examines volatility in Real Estate Investment Trust (REITs) using a 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 results illustrate the differences 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 is weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.
| Speaker: Simon Stevenson |
| Affiliation: CRER, University of Dublin (Ireland) |
| Date: 19.Oct 2004 |