Forecasting the Value-at-Risk of REITs using realized volatility jump models

This paper examines jump risk in the time series of Real Estate Investment Trusts (REITs). Using high-frequency index-level and firm-level data, the econometric model in this paper integrates jumps into the volatility forecast by estimating jump augmented Heterogeneous Autoregressive (HAR) models of realized volatility. To assess the information value of these specifications, their forecasting accuracies for generating one-step ahead daily Value-at-Risk are also compared with other VaR specifications, including those generated from historical returns, bootstrap technique, and severity loss distribution.