Loo, Wei Kang, Ahmad Anuar, Melati, and Ramakrishnan, Suresh (2016) Modeling the volatility of Asian REIT markets. Pacific Rim Property Research Journal, 22 (3). pp. 231-243.

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Abstract

This paper analyzed the volatility behavior of Asian real estate investment trust (REIT) markets. The autoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample forecasting test. Results showed that the fractional integrated EGARCH model was the best model in forecasting the volatility for most of the Asian REIT markets. The outcome of this study would be useful for REIT investors in understanding the volatility of the Asian REIT markets. Similarly, policy-makers can also make use of this information to create derivate pricing for the future.

Item ID:	53326
Item Type:	Article (Research - C1)
ISSN:	2201-6716
Keywords:	Asian REITs, volatility forecasting, ARCH, long memory, in-sample, forecast
Date Deposited:	22 Jun 2018 01:32
FoR Codes:	35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350208 Investment and risk management @ 100%
SEO Codes:	91 ECONOMIC FRAMEWORK > 9101 Macroeconomics > 910109 Savings and Investments @ 100%
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