Modeling Long Memory in REITs

John Cotter and Simon Stevenson

MPRA Paper from University Library of Munich, Germany

Abstract: One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a market equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence. Trading volume is found to be strongly associated with long memory. The results do however suggest differences in the findings with regard to REITs in comparison to the broader equity sector.

JEL-codes: G0 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-ets and nep-rmg
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https://mpra.ub.uni-muenchen.de/3500/1/MPRA_paper_3500.pdf original version (application/pdf)

Related works:
Working Paper: Modeling Long Memory in REITs (2011)
Working Paper: Modelling Long Memory in REITs (2011)
Journal Article: Modeling Long Memory in REITs (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3500

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