This paper examines jump risk in the time series of Real Estate Investment Trusts (REITs). Using high-frequency index-level and firm-level data, the econometric model in this paper integrates jumps into the volatility forecast by estimating jump augmented Heterogeneous Autoregressive (HAR) models of realized volatility. To assess the information value of these specifications, their forecasting accuracies for generating one-step ahead daily Value-at-Risk are also compared with other VaR specifications, including those generated from historical returns, bootstrap technique, and severity loss distribution.

中文翻译：

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使用已实现的波动率跳跃模型预测房地产投资信托的风险价值

本文研究了房地产投资信托（REIT）的时间序列中的跳跃风险。本文使用计量指标和企业高频数据，通过估计已实现波动率的跳跃增强型异质自回归（HAR）模型，将跳跃值集成到波动率预测中。为了评估这些规范的信息价值，还将它们用于提前一天产生风险价值的预测准确性与其他VaR规范进行了比较，包括从历史收益，自举技术和严重性损失分布中生成的VaR规范。