Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis

Matteo Bonato, Oguzhan Cepni, Rangan Gupta, Christian Pierdzioch

Publikation: Working paperForskning

Abstrakt

We use an international dataset on 5-minutes interval intraday data covering nine leading markets and regions to construct measures of realized volatility, realized jumps, realized skewness, and realized kurtosis of returns of international Real Estate Investment Trusts (REITs) over the daily period of September, 2008 to August, 2020. We study out-of-sample the predictive value of realized skewness and realized kurtosis for realized volatility over and above realized jumps, where we also differentiate between measures of “good” realized volatility and “bad” realized volatility. We find that realized skewness and realized kurtosis significantly improve forecasting performance at a daily, weekly, and monthly forecast horizon, and that their contribution to forecasting performance outweighs in terms of significance the contribution of realized jumps. Our results have important implications for investors and policymakers.
OriginalsprogEngelsk
UdgivelsesstedPretoria
UdgiverUniversity of Pretoria
Antal sider15
StatusUdgivet - feb. 2021
NavnWorking Paper Series / Department of Economics. University of Pretoria
Nummer2021-14

Emneord

  • REITs
  • International data
  • Realized volatility
  • Forecasting

Citationsformater