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

Matteo Bonato, Oguzhan Cepni*, Rangan Gupta, Christian Pierdzioch

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


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 languageEnglish
JournalJournal of Forecasting
Number of pages19
Publication statusPublished - 14 Aug 2021

Bibliographical note

Epub ahead of print. Published online: 14 August 2021.


  • REITs
  • International data
  • Realized volatility
  • Forecasting

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