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Volatility jumps and their determinants in REIT returns

Babatunde O. Odusami

Journal of Economics and Business, 2021, vol. 113, issue C

Abstract: This paper examines the roles of jumps in the time series of Real Estate Investment Trust (REIT) returns. Using measures of the quadratic variation of high-frequency REIT returns, it documents evidence of jumps in the returns and volatility of returns. Evidence of persistence in the occurrence of jumps is also uncovered. Motivated by these findings, the paper also examines whether a set of financial and macroeconomic state variables can account for the magnitude of jumps seen in the returns and volatilities of REIT indices. By applying linear and threshold regressions, heterogeneous autoregressive volatility, and conditional hazard models on the jump data, it is shown that variations in the magnitude of jumps, the frequency of jumps, and the realized volatilities of REIT returns can be explained by term spread, default spread, VIX, equity market returns, commodity returns, and the U.S. dollar exchange rates.

Keywords: REITs; Real Estate; Jumps; Bipower Variation; Autoregressive Conditional Hazard (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jeconbus.2020.105943

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