Volatility transmission: Evidence from U.K. REIT & stock market implied volatility

Katyoka, Mutale; Stevenson, Simon

Abstract

This paper investigates volatility transmission in the U.K. REIT market. It considers how REIT volatility is related to implied volatility in both the overall stock market as well as that derived from traded options on REIT stocks. The multivariate analysis utilizes both Constant Conditional Correlation (CCC) and Dynamic Conditional Correlation (DCC) GARCH specifications to analyse the interdependence of the data. The findings confirm the presence of volatility transmission across the implied volatility of U.K. REITs, the U.K. implied volatility index, and the U.K. REIT index. The study also applies the variance decomposition approach proposed by Diebold and Yilmaz to examine spillover effects.

• Journal Article Type: Article
• Acceptance Date: Jun 28, 2023
• Online Publication Date: Aug 9, 2023
• Deposit Date: Jul 6, 2023
• Publicly Available Date: Aug 17, 2023
• Journal: Journal of Real Estate Portfolio Management
• Print ISSN: 1083-5547
• Publisher: American Real Estate Society
• Peer Reviewed: Peer Reviewed
• Volume: 30
• Issue: 1
• DOI: https://doi.org/10.1080/10835547.2023.2232118
• Keywords: Economics, Econometrics and Finance (miscellaneous), Management Information Systems, Business, Management and Accounting (miscellaneous), Urban Studies, Finance
• Public URL: https://uwe-repository.worktribe.com/output/10907542