A Study on the Asymmetric Volatility of the U.S. and Japanese REITs Returns

Abstract

This study analyzed whether the effects of information type on the volatility of each index are asymmetric through the GJR(1,1)-MA(1) model using the U.S. equity REITs (Real Estate Investment Trusts) stock price index released by the FTSE NAREIT and the Japanese equity REITs stock price index released by SMTRI. Using the GJR method to consider asymmetric volatility effects which are widely observed in the stock market. This study also analyzed the GARCH-MA(1) model to examine whether the volatility of REITs returns changes depending on the flow of time. As a result of the analysis, it was revealed that time change of the REITs return volatility can be estimated in the GARCH model analysis. The GJR(1,1)-MA(1) model was shown to be a suitable model to capture asymmetric effects affecting the REITs stock price volatility concerned with information. At the time when capital market opening accelerates, the portfolio and risk rate management according to information is required.