Volatility jumps and their determinants in REIT returns

Babatunde O. Odusami

Journal of Economics and Business, 2021, vol. 113, issue C, No S014861951930414X

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S014861951930414X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jebusi:v:113:y:2021:i:c:s014861951930414x

DOI: 10.1016/j.jeconbus.2020.105943

Access Statistics for this article

Journal of Economics and Business is currently edited by Emanuele Bajo and Moritz Ritter

More articles in Journal of Economics and Business from Elsevier
Bibliographic data for series maintained by Catherine Liu ().