Modeling Long Memory in Reits

29 Pages Posted: 22 Jun 2007

See all articles by John Cotter

John Cotter

University College Dublin; University of California, Los Angeles (UCLA) - Anderson School of Management

Simon Stevenson

City University London - The Business School

Multiple version iconThere are 2 versions of this paper

Date Written: May 2007

Abstract

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for non-REIT equity indexes. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence, in contrast to the actual return series. The results do however suggest differences in the findings in regard to REITs in comparison to the broader equity sector which may be due to relatively thin trading during the sample period.

Suggested Citation

Cotter, John and Stevenson, Simon, Modeling Long Memory in Reits (May 2007). Available at SSRN: https://ssrn.com/abstract=907446 or http://dx.doi.org/10.2139/ssrn.907446

John Cotter (Contact Author)

University College Dublin ( email )

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University of California, Los Angeles (UCLA) - Anderson School of Management ( email )

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Simon Stevenson

City University London - The Business School ( email )

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London, EC1Y 8TZ
United Kingdom

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