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Volatility Spillover in Australian Commercial Property

Author/s: Chyi Lin Lee

Date Published: 1/01/2008

Published in: Volume 14 - 2008 Issue 4 (pages 434 - 477)

Abstract

Extensive real estate studies have demonstrated the linkages between direct property and capital assets, particularly REITs by emphasising on the common movements in prices. However, the study of volatility spillover between these assets is relatively limited. This study aims to investigate the volatility linkages between Australian commercial property and capital assets by utilising generalised autoregressive conditional heteroskedasticity (GARCH) and Exponential GARCH (EGARCH) over the study period 1985-2006. The results reveal that direct commercial property is strongly influenced by LPTs and bonds. It is also shown that direct property is asymmetric to negative and positive news. These findings have provided additional insights into the knowledge base of real estate risk and portfolio management.

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Keywords

Australia - Commercial Property - Egarch - Garch - Volatility Spillover

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