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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

Citation:

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

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