Purpose

This study aims to show that the best-performing realized measures vary across markets when it comes to forecast real estate investment trust (REIT) volatility. This finding provides little guidance for practitioners on which one to use when facing a new market. The authors attempt to fill the hole by seeking a common estimator, which can study for different markets.

Design/methodology/approach

The authors do so by drawing upon the general forecasting literature, which finds that combinations of individual forecasts often outperform even the best individual forecast. The authors carry out the study by first introducing a number of commonly used realized measures and then considering several different combination strategies. The authors apply all of the individual measures and their different combinations to three major global REIT markets (Australia, UK and US).

Findings

The findings show that both unconstrained and constrained versions of the regression-based combinations consistently rank among the group of best forecasters across the three markets under study. None of their peers can do it including the three simple combinations and all of the individual measures. The conclusions are robust to the choice of evaluation metrics and of the out-of-sample evaluation periods.

Originality/value

The study provides practitioners with easy-to-follow insights on how to forecast REIT volatility, that is, use a regression-based combination of individual realized measures. The study has also extended the thin real estate literature on using high-frequency data to examine REIT volatility.

中文翻译：

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结合已采取的措施来预测REIT波动

目的

这项研究旨在表明，在预测房地产投资信托（REIT）波动性时，最有效的已实现指标会因市场而异。这一发现为从业者在面对新市场时使用哪一个提供了很少的指导。作者试图通过寻找一个可以针对不同市场进行研究的共同估算器来填补这一空白。

设计/方法/方法

作者通过参考一般的预测文献来做到这一点，该文献发现，单个预测的组合通常甚至胜过最佳的单个预测。作者首先介绍了一些常用的实现方法，然后考虑了几种不同的组合策略来进行研究。作者将所有单独的方法及其不同的组合应用于三个主要的全球REIT市场（澳大利亚，英国和美国）。

发现

研究结果表明，基于回归的组合的无约束版本和受约束版本在研究的三个市场中始终位居最佳预测者之列。包括三个简单的组合以及所有单独的度量标准，他们的同行都无法做到。这些结论对于评估指标和样本外评估期的选择是可靠的。

创意/价值

该研究为从业人员提供了有关如何预测REIT波动性的易于理解的见解，即使用基于回归的各个已实现指标的组合。这项研究还扩展了有关使用高频数据来检查REIT波动性的房地产文献。