A specialised volatility index for the new GICS sector - Real estate

Lin Mi; Karen Benson; Robert Faff

doi:10.1016/j.econmod.2017.08.025

A specialised volatility index for the new GICS sector - Real estate

Lin Mi^*, Karen Benson, Robert Faff

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

6 Citations (Scopus)

Abstract

In this paper we show why a Real Estate VIX is needed. We develop a 30-day forward-looking real estate volatility index (REVIX), based on a state preference approach using US equity Real Estate Investment Trusts (REITs), for the new Real Estate Sector under the Global Industry Classification Standard (GICS). We show that REVIX is a very useful predictor of future REIT realized volatility. We further explore an economic application of REVIX and demonstrate that REVIX, similar to VIX, serves as an investor fear gauge for the real estate market.

Original language	English
Pages (from-to)	438-446
Number of pages	9
Journal	Economic Modelling
Volume	70
DOIs	https://doi.org/10.1016/j.econmod.2017.08.025
Publication status	Published - Apr 2018
Externally published	Yes

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10.1016/j.econmod.2017.08.025

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title = "A specialised volatility index for the new GICS sector - Real estate",

abstract = "In this paper we show why a Real Estate VIX is needed. We develop a 30-day forward-looking real estate volatility index (REVIX), based on a state preference approach using US equity Real Estate Investment Trusts (REITs), for the new Real Estate Sector under the Global Industry Classification Standard (GICS). We show that REVIX is a very useful predictor of future REIT realized volatility. We further explore an economic application of REVIX and demonstrate that REVIX, similar to VIX, serves as an investor fear gauge for the real estate market.",

author = "Lin Mi and Karen Benson and Robert Faff",

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doi = "10.1016/j.econmod.2017.08.025",

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AU - Mi, Lin

AU - Benson, Karen

AU - Faff, Robert

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AB - In this paper we show why a Real Estate VIX is needed. We develop a 30-day forward-looking real estate volatility index (REVIX), based on a state preference approach using US equity Real Estate Investment Trusts (REITs), for the new Real Estate Sector under the Global Industry Classification Standard (GICS). We show that REVIX is a very useful predictor of future REIT realized volatility. We further explore an economic application of REVIX and demonstrate that REVIX, similar to VIX, serves as an investor fear gauge for the real estate market.

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U2 - 10.1016/j.econmod.2017.08.025

DO - 10.1016/j.econmod.2017.08.025

M3 - Article

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SN - 0264-9993

VL - 70

SP - 438

EP - 446

JO - Economic Modelling

JF - Economic Modelling

ER -

A specialised volatility index for the new GICS sector - Real estate

Abstract

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