Long-Term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets
Posted: 5 Aug 2009
Date Written: August 4, 2009
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.
Keywords: long memory volatility, fractional differencing, conditional variance, securitized real estate markets, market efficiency
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