Extreme risk measures for REITs: a comparison among alternative methods
Jian Zhou ()
Applied Financial Economics, 2012, vol. 22, issue 2, 113-126
Abstract:
Real Estate Investment Trusts (REITs), traditionally known as an asset of low volatility, have been undergoing a period of unprecedentedly high volatility due to the current financial crisis. This has increased the need to search for appropriate methods to cope with extreme risks. This study aims to meet this need by comparing the performances of several commonly used methods in predicting the conditional Value at Risk (VaR) and Expected Shortfall (ES) for REITs. Our competing methods cover all three broad categories (i.e. nonparametric, parametric and semiparametric) classified by Manganelli and Engle (2004) and display a varying degree of complexity. Overall, our results show that the trio of EGARCH skewed t (EGARCH, Exponential Generalized Autoregressive Conditional Heteroscedacity), GARCH t , and GARCH EVT (EVT, Extreme Value Theory) provide the most reliable forecasts among all methods considered. Their good performance, with only a few exceptions, holds up for a variety of quantiles and is robust to the size of the moving window used to make the forecasts. We also find that GARCH normal and RiskMetrics of J.P. Morgan are the worst performers. Filtered Historical Simulation (FHS) models fall somewhere in between.
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.605752 (text/html)
Access to full text is restricted to subscribers.
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:taf:apfiec:v:22:y:2012:i:2:p:113-126
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20
DOI: 10.1080/09603107.2011.605752
Access Statistics for this article
Applied Financial Economics is currently edited by Anita Phillips
More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().