标题： 揭示每日REIT收益的波动性动态 显示英文标题

标题： Uncovering Volatility Dynamics in Daily REIT Returns

摘要： 使用时变方法，本文研究了REIT行业波动性的动态变化。 结果突显了在建模每日REIT波动性时使用基于GARCH的方法的吸引力和适用性。 本文研究了影响REIT波动性的因素，记录了REIT子行业之间的收益和波动率关联，并且还研究了其他美国股票系列的影响。 结果与以往关于月度REIT波动性的研究形成对比。 REIT行业内部以及与价值股等相关行业之间的关联减弱，而通过大盘指数传达的市场情绪的一般影响则增强。 这表明，在每日基础上，一般市场情绪比资本市场的更直观关系起到更根本的作用。 显示英文摘要

摘要： Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility. The paper examines the influencing factors on REIT volatility, documenting the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity series. The results contrast with previous studies of monthly REIT volatility. Linkages within the REIT sector and with related sectors such as value stocks are diminished, while the general influence of market sentiment, coming through the large cap indices is enhanced. This would indicate that on a daily basis general market sentiment plays a more fundamental role than more intuitive relationships within the capital markets.