We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for real estate investment trusts (REITs) realized market variance of the United States (US) via the heterogeneous autoregressive realized volatility (HAR-RV) model. Our results show that the EMVID index improves the forecast accuracy of realized variance of REITs at short-, medium-, and long-run horizons in a statistically significant manner, with the result being robust to the inclusion of additional controls (leverage, realized jumps, skewness, and kurtosis) capturing extreme market movements, and also carries over to 10 sub-sectors of the US REITs market. Our results have important portfolio implications for investors during the current period of unprecedented levels of uncertainty resulting from the outbreak of COVID-19.

中文翻译：

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传染病引起的不确定性和美国房地产投资信托实现方差的可预测性：注

我们通过异质自回归已实现波动率 (HAR-RV) 研究了基于日报的与传染病相关的不确定性指数 (EMVID) 对美国 (US) 房地产投资信托 (REIT) 已实现市场方差的预测能力模型。我们的结果表明，EMVID 指数以统计学上显着的方式提高了 REITs 在短期、中期和长期范围内的已实现方差的预测准确性，结果对于包含额外控制（杠杆、已实现跳跃）具有稳健性、偏度和峰度）捕捉极端市场走势，并且还延续到美国 REITs 市场的 10 个子行业。在当前因 COVID-19 爆发而造成前所未有的不确定性的时期，我们的结果对投资者具有重要的投资组合影响。