Forecasting international REITs volatility: the role of oil-price uncertainty
The European Journal of Finance
; : 1-19, 2022.
Article
in English
| Web of Science | ID: covidwho-2096977
ABSTRACT
We forecast realized variance (RV) of Real Estate Investment Trusts for 10 leading markets and regions, derived from 5-minutes-interval intraday data, based on the information content of two alternative metrics of daily oil-price uncertainty. Based on the period of the analysis covering January 2008 to July 2020, and using variants of the popular MIDAS-RV model, augmented to include oil market uncertainties, captured by its RV (also derived from 5-minute intraday data) and implied volatility (i.e. the oil VIX), we report evidence of significant statistical and economic gains in the forecasting performance. The result is robust to the size of the forecasting samples, including that of the COVID-19 period, lag-length, nonlinearities, asymmetric effects, and forecast horizon. Our results have important implications for investors and policymakers.
Full text:
Available
Collection:
Databases of international organizations
Database:
Web of Science
Language:
English
Journal:
The European Journal of Finance
Year:
2022
Document Type:
Article
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