ABSTRACT Recent advances in financial econometrics have led to the development of a variety of estimators of asset volatility using frequently sampled price data, known as ‘realised measures’. These estimators rely on different assumptions and take many different functional forms. In this paper, we aim to examine the accuracy of these estimators in the measurement of daily volatility of REIT returns. We consider a wide range of commonly used realised measures and apply them to several major global REIT markets. Our findings suggest that there is no single estimator which can perform the best for all markets under study. The best-performing estimator varies across markets. We obtain our results by considering the accuracy of both volatility estimation and forecast and by using multiple robust evaluation metrics.

中文翻译：

---

每日REIT波动的已实现指标比较

摘要金融计量经济学的最新进展已导致使用频繁采样的价格数据（称为“已实现的度量”）来估计各种资产波动性。这些估计器依赖于不同的假设并采用许多不同的功能形式。在本文中，我们旨在检查这些估计数在REIT收益每日波动率测量中的准确性。我们考虑了多种常用的已实现措施，并将其应用于几个主要的全球REIT市场。我们的发现表明，没有一个单一的估计器可以对所有正在研究的市场发挥最佳的作用。效果最佳的估算器因市场而异。我们通过考虑波动率估计和预测的准确性以及使用多个可靠的评估指标来获得结果。