Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets |
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Authors: | Kim Hiang Liow |
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Institution: | (1) Department of Real Estate, National University of Singapore, 4 Architecture Drive, Singapore, 117566, Singapore |
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Abstract: | While the long memory property is examined in the literature for the US REIT returns, this paper extends the analysis to international
securitized real estate markets with the hope of finding answers or confirming prior stock market evidence regarding the presence
(or absence) of long memory volatilities for 40 weekly real estate indices (original and hedged). Using a battery of five
econometric tests on three alternative risk measures; weekly observed absolute and squared mean deviations and conditional
variances, we find statistically significant evidence of long memory in the volatility structure of most securitized real
estate markets studied. Volatility persistence is particularly strong in Asia, but is not consistent throughout the period
of study. |
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Keywords: | |
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