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

Matteo Bonato; Oguzhan Cepni; Rangan Gupta; Christian Pierdzioch

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

Matteo Bonato, Oguzhan Cepni, Rangan Gupta, Christian Pierdzioch

Department of Economics

Research output: Working paper › Research

Abstract

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.

Original language	English
Place of Publication	Pretoria
Publisher	University of Pretoria
Number of pages	15
Publication status	Published - Feb 2021

Series	Working Paper Series / Department of Economics. University of Pretoria
Number	2021-14

Keywords

REITs
International data
Realized volatility
Forecasting

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Cite this

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abstract = "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.",

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TY - UNPB

T1 - Forecasting Realized Volatility of International REITs

T2 - The Role of Realized Skewness and Realized Kurtosis

AU - Bonato, Matteo

AU - Cepni, Oguzhan

AU - Gupta, Rangan

AU - Pierdzioch, Christian

PY - 2021/2

Y1 - 2021/2

N2 - 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.

AB - 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.

KW - REITs

KW - International data

KW - Realized volatility

KW - Forecasting

KW - REITs

KW - International data

KW - Realized volatility

KW - Forecasting

M3 - Working paper

T3 - Working Paper Series / Department of Economics. University of Pretoria

BT - Forecasting Realized Volatility of International REITs

PB - University of Pretoria

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