Multivariate Modeling of Daily REIT Volatility
John Cotter and
Simon Stevenson
MPRA Paper from University Library of Munich, Germany
Abstract:
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VARGARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfolio selection. The results illustrate the differences in results when higher frequency daily data is tested in comparison to the monthly data that has been commonly used in the existing literature. The linkages both within the REIT sector and between REITs and related sectors such as value stocks are weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/3524/1/MPRA_paper_3524.pdf original version (application/pdf)
Related works:
Working Paper: Multivariate Modeling of Daily REIT Volatility (2011) 
Working Paper: Multivariate Modelling of Daily REIT Volatility (2011) 
Journal Article: Multivariate Modeling of Daily REIT Volatility (2006) 
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:pra:mprapa:3524
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().