Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis

Matteo Bonato, Oguzhan Cepni, Rangan Gupta and Christian Pierdzioch

No 202114, Working Papers from University of Pretoria, Department of Economics

Abstract: We use an international dataset on 5-minutes interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns of international Real Estate Investment Trusts (REITs) over the daily period of September, 2008 to August, 2020. We study out-of-sample the predictive value of realized skewness and realized kurtosis for realized volatility over and above realized jumps, where we also differentiate between measures of ``good" realized volatility and ``bad" realized volatility. We find that realized skewness and realized kurtosis significantly improve forecasting performance at a daily, weekly, and monthly forecast horizon, and that their contribution to forecasting performance outweighs in terms of significance the contribution of realized jumps. Our results have important implications for investors and policymakers.

Keywords: REITs; International data; Realized volatility; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 G15 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2021-02
New Economics Papers: this item is included in nep-fmk, nep-for and nep-rmg
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Citations: View citations in EconPapers (2)

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Journal Article: Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202114

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