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 journalArticleResearchpeer-review

3 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 languageEnglish
Pages (from-to)438-446
Number of pages9
JournalEconomic Modelling
Volume70
DOIs
Publication statusPublished - Apr 2018
Externally publishedYes

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