Modeling Long Memory in REITs |
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| Authors: | John Cotter Simon Stevenson |
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| Affiliation: | Anderson School of Management, University of California, Los Angeles, CA 90095 and Centre for Financial Markets, School of Business, University College Dublin, Blackrock, County Dublin, Republic of Ireland or .;Cass Business School, City University, London, EC1Y 8TZ, U.K. or . |
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| Abstract: | One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate investment trust (REITs) and compares the findings for a market equity index. The article 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. Results suggest differences in the findings with regard to REITs in comparison to the broader equity sector. |
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