Forecasting International REITs Volatility: The Role of Oil-Price Uncertainty

Jiqian Wang (), Rangan Gupta, Oguzhan Cepni and Feng Ma ()
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Jiqian Wang: School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Feng Ma: School of Economics and Management, Southwest Jiaotong University, Chengdu, China

No 202173, Working Papers from University of Pretoria, Department of Economics

Abstract: We forecast realized variance (RV) of Real Estate Investment Trusts (REITs) for ten leading markets and regions, derived from 5-minutes-interval intraday data, based on the information content of two alternative metrics of daily oil-price uncertainty. Based on the period of the analysis covering January 2008 to July 2020, and using variants of the popular MIDAS-RV model, augmented to include oil market uncertainties, captured by its RV (also derived from 5-minute intraday data) and implied volatility (i.e., the oil VIX), we report evidence of significant statistical and economic gains in the forecasting performance. The result is robust to the size of the forecasting samples, including that of the COVID-19 period, jump risks, lag-length, nonlinearities, and asymmetric effects, and forecast horizon. Our results have important implications for investors and policymakers.

Keywords: REITs; International data; Realized volatility; Oil-Price Uncertainty; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 G15 Q02 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2021-10
New Economics Papers: this item is included in nep-ene, nep-for, nep-rmg and nep-ure
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Journal Article: Forecasting international REITs volatility: the role of oil-price uncertainty (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202173

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