| Volatility Components and Jump Risk of REIT |
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Jeehye Kim, Kook-hyun Chang |
| 리츠의 변동성요소와 점프리스크에 관한 연구 |
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김지혜, 장국현 |
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| Abstract |
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This paper examines whether REIT has heteroscedasticity and jump risk, which are observed in general financial time series data, and the relationship between REIT volatility and the stock market. To achieve these objectives, we have used the Component-Jump GARCH model. Using the FTSE NAREIT All Equity REIT Index from January 4, 1999 to August 31, 2015, this paper finds that REIT has both heteroscedasticity and jump risk, and heteroscedasticity is decomposed into permanent component and transitory component. Jump risk, particularly, comes every 19 trading days in the REIT market, with the estimated jump frequency parameter being 0.0519. This implies that REIT could have market jump or crash risk like common stock. Moreover, REIT total volatility is well explained by the S&P1500 permanent volatility component and approximately 10% of REIT jump component is explained by the S&P1500 jump component. |
| Key Words:
리츠,일시적 요소,점프리스크,항상 요소,REIT,Transitory Component,Permanent Component,Jump Risk,Component-Jump GARCH |
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