Multivariate Modeling of Daily REIT Volatility


DOI: 10.1007/s11146-006-6804-9

Cite this article as:
Cotter, J. & Stevenson, S. J Real Estate Finan Econ (2006) 32: 305. doi:10.1007/s11146-006-6804-9


This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR–GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The motivation is for investors to incorporate time-varyng volatility and correlations in their portfolio selection. The results illustrate the differences in results when higher frequency daily data is tested in comparison to the monthly data that has been commonly used in the existing literature. The linkages both within the REIT sector and between REITs and related sectors such as value stocks are weaker than commonly found in monthly studies. The broad market would appear to be more influential in the daily case.


Multivariate GARCH Volatility modelling REITS 

Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  1. 1.Centre for Financial Markets, Department of Banking & FinanceUniversity College DublinBlackrockIreland
  2. 2.Real Estate Finance & Investment Group, Faculty of FinanceCass Business School, City UniversityLondonUK

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