Abstract This paper analyzed the volatility behavior of Asian real estate investment trust (REIT) markets. The autoregressive conditional heteroscedasticity (ARCH)-family models were applied for the purpose of conducting the in-sample fitting test and out-of-sample forecasting test. Results showed that the fractional integrated EGARCH model was the best model in forecasting the volatility for most of the Asian REIT markets. The outcome of this study would be useful for REIT investors in understanding the volatility of the Asian REIT markets. Similarly, policy-makers can also make use of this information to create derivate pricing for the future.

中文翻译：

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模拟亚洲房地产投资信托市场的波动

摘要本文分析了亚洲房地产投资信托（REIT）市场的波动行为。为了进行样本内拟合检验和样本外预测检验，使用了自回归条件异方差（ARCH）家庭模型。结果表明，分数集成EGARCH模型是预测大多数亚洲REIT市场波动的最佳模型。这项研究的结果对于房地产投资信托基金的投资者了解亚洲房地产投资信托市场的波动性将是有用的。同样，政策制定者也可以利用这些信息来为未来制定衍生定价。