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.

Keywords: Asian REITsvolatility forecastingARCHlong memoryin-sampleforecast


Wei Kang Loo, Melati Ahmad Anuar & Suresh Ramakrishnan (2016) Modeling the volatility of Asian REIT markets, Pacific Rim Property Research Journal, 22:3, 231-243, DOI: 10.1080/14445921.2016.1235757

Article link: https://www.tandfonline.com/doi/abs/10.1080/14445921.2016.1235757?journalCode=rprj20

About Dr Loo

I am Dr Loo, a PhD holder with 8 years of teaching experience on secondary school and tertiary level. In addition, I also received teaching training under tertiary setting. Furthermore, I have publisehd 5 research papers on international peer reviewed journals. I do provide O-level Math Tuition & JC Math Tuition (H1 Math Tuition & H2 Math Tuition).

Thus, for those who are looking for a JC Math Tutor (H1 Math tutor or H2 Math tutor) as well as O-level Math Tutor, you may contact me for my math tuition in Singapore. I can be contacted through SMS/Whatsapp/Telegram at +65-85483705.

JC H1 H2 Math Tutor Singapore, O-level Math Tutor Singapore
Open chat