| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7347310 | Economic Modelling | 2018 | 9 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lin Mi, Karen Benson, Robert Faff,