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Discrete Volatilities of Listed Real Estate Funds

In: Advances in Econometrics, Operational Research, Data Science and Actuarial Studies

Author

Listed:
  • Annah Gosebo

    (WITS University)

  • Donald Makhalemele

    (WITS University)

  • Zinhle Simelane

    (WITS University)

Abstract

The purpose of this article is to examine hedging strategies of South African real estate investment trusts using discrete volatility models. Prior studies have illustrated volatility hedging in bonds, commodities and equities appropriately illustrated by discrete volatility models, but not much has been done on real estate investment trusts, especially South African ones. This article uses both Autoregressive Conditional Heteroskedasticity and Generalized Autoregressive Conditional Heteroskedasticity family models to price discrete volatilities. The results show that information asymmetry, heterogeneity and lagging effects are inherent real estate investment trusts; therefore, volatility modelling should be done in a cautious manner. Thus, incorporating these factors in real estate investment trust hedging strategies should have a remarkable significance both in academia and in practice. The same findings apply equally both on in- and out-of-sample data.

Suggested Citation

  • Annah Gosebo & Donald Makhalemele & Zinhle Simelane, 2022. "Discrete Volatilities of Listed Real Estate Funds," Contributions to Economics, in: M. Kenan Terzioğlu (ed.), Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, pages 143-170, Springer.
    • Handle: RePEc:spr:conchp:978-3-030-85254-2_9
    DOI: 10.1007/978-3-030-85254-2_9
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    Keywords

    Volatility; REITs; Hedging;
    All these keywords.

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