A comparison of realised measures for daily REIT volatility

ABSTRACT Recent advances in financial econometrics have led to the development of a variety of estimators of asset volatility using frequently sampled price data, known as ‘realised measures’. These estimators rely on different assumptions and take many different functional forms. In this paper, we aim to examine the accuracy of these estimators in the measurement of daily volatility of REIT returns. We consider a wide range of commonly used realised measures and apply them to several major global REIT markets. Our findings suggest that there is no single estimator which can perform the best for all markets under study. The best-performing estimator varies across markets. We obtain our results by considering the accuracy of both volatility estimation and forecast and by using multiple robust evaluation metrics.

• Publication year

  2020

• Venue

  Journal of Property Research

• Publication date

  2020-01-02

• Fields of study

  Economics

• Identifiers
  DOI 10.1080/09599916.2019.1693418
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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