Combining realized measures to forecast REIT volatility

Purpose This study aims to show that the best-performing realized measures vary across markets when it comes to forecast real estate investment trust (REIT) volatility. This finding provides little guidance for practitioners on which one to use when facing a new market. The authors attempt to fill the hole by seeking a common estimator, which can study for different markets. Design/methodology/approach The authors do so by drawing upon the general forecasting literature, which finds that combinations of individual forecasts often outperform even the best individual forecast. The authors carry out the study by first introducing a number of commonly used realized measures and then considering several different combination strategies. The authors apply all of the individual measures and their different combinations to three major global REIT markets (Australia, UK and US). Findings The findings show that both unconstrained and constrained versions of the regression-based combinations consistently rank among the group of best forecasters across the three markets under study. None of their peers can do it including the three simple combinations and all of the individual measures. The conclusions are robust to the choice of evaluation metrics and of the out-of-sample evaluation periods. Originality/value The study provides practitioners with easy-to-follow insights on how to forecast REIT volatility, that is, use a regression-based combination of individual realized measures. The study has also extended the thin real estate literature on using high-frequency data to examine REIT volatility.

A Preliminary Analysis of Islamic Real Estate Investment Trust (I-REIT) Volatility as a Potential Waqf Development

The development of waqf institutions is a significant attribution to ensure a sustainable and progressive prosperity to the Muslim socio-economic. The aspiration of the waqf development is to preserve the benefits of the beneficiaries and to all the human kind. However, the issues of the fund shortage are one of the tough issues that need to be solved. I-REIT (Islamic Real Estate Investment Trust) is one of a suggestion of diversification as an alternative solution to the aspect of fund constraint. Therefore, this paper attempts to examine the level of I-REIT volatility in comparison to typical REIT as a preliminary experiment. By using a conventional standard deviation or variance analysis of selected I-REIT and REIT counter, a preliminary result shows that I-REIT has a lower volatility impact than the REIT. This less-impact I-REIT to the market exploitation justifies that the Islamic capital market instruments of Islamic real estate investment trust (I-REIT) is an alternative potential waqf mechanism in developing and advancing waqf property in Malaysia. Thus, this study proposes the initiation of the alternative waqf of I-REIT in enhancing the dynamism of waqf practice in Malaysia.