Long-Term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets

Posted: 5 Aug 2009

See all articles by Kim Hiang Liow

Kim Hiang Liow

National University of Singapore (NUS) - Department of Real Estate

Date Written: August 4, 2009

Abstract

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

Suggested Citation

Liow, Kim Hiang, Long-Term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets (August 4, 2009). Journal of Real Estate Finance and Economics, Vol. 39, No. 4, 2009. Available at SSRN: https://ssrn.com/abstract=1444060

Kim Hiang Liow (Contact Author)

National University of Singapore (NUS) - Department of Real Estate ( email )

4 Architecture Drive
Singapore 117566
Singapore
65-8743420 (Phone)
65-7748684 (Fax)

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