Multivariate Modeling of Daily REIT Volatility
By John Cotter, S. Stevenson. 2006
191 citations recorded by the source corpus.
This paper examines volatility in 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 motivation is for investors to incorporate time-varyng volatility and correlations in their portfolio selection. 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 are weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/616b349755c452616519da6a6bc5728206e122f0
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In Economics and Econometrics
In Finance
Citations in the corpus
- Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “Studies such as Stevenson (2002) and Cotter and Stevenson (2006) also report strong relationships based on volatility transmission tests conducted with different GARCH models or time-varying correlations.”
- Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, unknown): “bivariate GARCH model, Cotter and Stevenson (2006) found that daily REIT-stock correlations generally increased during the period from 1999 to 2005.”
- Correlation and Volatility Dynamics in International Real Estate Securities Markets (2009, methodology): “Yang (2005) examines international stock market correlations between Japan and four other Asian stock markets using Engle’s (2002) DCC analysis in the period between 1990 and 2003. Yang’s results support the findings of earlier stock market studies that it is necessary to consider the market conditi”
- Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010, unknown): “stock returns are measured using total returns of the S&P 500 Composite Index (Chandrashekaran 1999; Clayton and MacKinnon 2001; Bley and Olson 2003; Feng et al. 2006; Huang and Zhong 2006; Cotter and Stevenson 2006; Ambrose et al. 2007; Chen 2007); the S&P 500 Mid-Cap Growth and Mid-Cap Dynamic Cor”