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A specialised volatility index for the new GICS sector - Real estate

Lin Mi, Karen Benson and Robert Faff

Economic Modelling, 2018, vol. 70, issue C, 438-446

Abstract: In this paper we show why a Real Estate VIX is needed. We develop a 30-day forward-looking real estate volatility index (REVIX), based on a state preference approach using US equity Real Estate Investment Trusts (REITs), for the new Real Estate Sector under the Global Industry Classification Standard (GICS). We show that REVIX is a very useful predictor of future REIT realized volatility. We further explore an economic application of REVIX and demonstrate that REVIX, similar to VIX, serves as an investor fear gauge for the real estate market.

Keywords: REITs; Volatility index; State preference approach; Economic significance; Fear gauge (search for similar items in EconPapers)
JEL-codes: G12 G14 R33 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econmod.2017.08.025

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