@techreport{5240eaea07a04b3a85ab3336ba25511e,
title = "Do Oil-price Shocks Predict the Realized Variance of U.S. REITs?",
abstract = "We examine, using aggregate and sectoral U.S. data for the period 2008−2020, the predictive power of disentangled oil-price shocks for Real Estate Investment Trusts (REITs) realized market variance via the heterogeneous auto-regressive realized variance (HAR-RV) model. In-sample tests show that demand and financial-market risk shocks contribute to a larger extent to the overall fit of the model than supply shocks, where the in-sample transmission of the impact of the shocks mainly operates through their significant effects on realized upward (“good”) variance. Out-of-sample tests corroborate the significant predictive value of demand and risk shocks for realized variance and its upward counterpart at a short, medium, and long forecast horizon, for various recursive-estimation windows, for realized volatility (that is, the square root of realized variance), for a shorter sub-sample period that excludes the recent phase of exceptionally intense oil-market turbulence, and for an extended benchmark model that features realized higher-order moments, realized jumps, and a leverage effect as control variables.",
keywords = "Oil price, Shocks, REITs, Realized variance, Forecasting, Oil price, Shocks, REITs, Realized variance, Forecasting",
author = "Matteo Bonato and Oguzhan Cepni and Rangan Gupta and Christian Pierdzioch",
year = "2020",
month = nov,
language = "English",
series = "Working Paper Series / Department of Economics. University of Pretoria ",
publisher = "University of Pretoria",
number = "2020-100",
address = "South Africa",
type = "WorkingPaper",
institution = "University of Pretoria",
}