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|Title: ||The research of reits return and volatility via alternative econometric approaches|
|Other Titles: ||應用不同之計量方法研究REITs之報酬與波動性|
|Authors: ||白東岳;Pai, Tung-yueh|
|Keywords: ||不動產投資信託;狀態轉換;不對稱均衡;波動性預測;REITs;Regime-change;Asymmetric Equilibrium;Volatility forecasting|
|Issue Date: ||2010-01-11 00:51:08 (UTC+8)|
最後一部分使用GARCH-N, GARCH-ST 和GARCH-SGED模型，探討REITs報酬率分配的設定對樣本外波動性預測績效的影響。實證資料採用REITs的日指數價格，其用意在於進行美國REITs市場之分析，提供投資者討論和比較的論點。實證結果顯示，不論是MSE或MAE作為比較準則，GARCH-SGED
The purpose of this dissertation is to contribute to the literature on investigating return and volatility of REITs assets which comprises three parts. The first part of the dissertation is entitled “Regime Changes in Real Estate Investment Trusts Markets: Evidence from the United States Market”, the second part is named “Existence of an Asymmetric Equilibrium Relationship between Equity and Mortgage REITs”, and the last one is “REITs Volatility Prediction for Skew-GED Distribution of The GARCH Model”. A brief introduction of these three parts can be summarized as follows:
The first part aims to explore the characteristics of regime-changes in REITs, to examine the influence of macroeconomic variables on REITs, and to investigate the differences in the risk and returns of equity REITs and mortgage REITs. The empirical analysis adopts a Markov regime-switching model and further compares the differences under normal and skewed generalized error distributions. Our overall findings show that the two REITs are sensibly modelled as a two-state regime-switching process. In particular, the uncertainty associated with risk mortgage REITs is higher than that for equity REITs, and the regime-persistence varies between the two. Moreover, the sources of interest rate sensitivity for equity and mortgage REITs are found to be different. Equity REITs are only sensitive to long-term interest rates, whereas mortgage REITs are sensitive to both changes in long- and short-term interest rates. Finally, this study shows that the two REITs returns each exhibit the types of height and fat-tails of the density function. Thus, we believe that our approach is methodologically solid and appropriate for providing a better understanding of the effects of regime-changes on the REITs markets.
The second part investigates whether a long-run relationship exists between the EREITs and MREITs via traditional and threshold co-integration testing using both monthly indexes running from January 1972 to January 2008. This study further uses Granger-causality tests based on the corresponding threshold error-correction model to assess whether causality exists between the EREITs and MREITs. The empirical results indicate that there is an asymmetric threshold co-integration relationship as well as a bidirectional feedback causality relationship between the EREITs and MREITs.
The last part investigates how specification of return distribution for REITs influences the performance of volatility forecasting using three GARCH models (GARCH-N, GARCH-ST and GARCH-SGED). Daily prices on the REIT provide an empirical sample for discussing and comparing relative ability to accurately out-of-sample volatility, given the growth potential of REIT markets in the United State from the perspective of global investors. Empirical results indicate that the GARCH-SGED model is superior to the GARCH-N and GARCH-ST model in forecasting REITs volatility in the United State, for all forecast horizons in which model selection is based on MSE or MAE. Meanwhile, the DM-tests further confirm that volatility forecasts using the GARCH-SGED model are more accurate than those generated using the GARCH-N and GARCH-ST model in all cases. These findings demonstrate the significant influences of both skewness and tail-thickness on the conditional distribution of returns.
|Appears in Collections:||[財務金融學系暨研究所] 學位論文|
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