Modeling Long Memory in REITs

(ARES). We would also particularily like to thank the Editor, Ed Coulson, and two referees for their helpful comments, but are responsible for any remaining errors. Cotter's contribution to the study has been supported by a University College Dublin School of Business research grant. Abstract One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity REITs and compares the findings for a market equity index. The paper utilizes a variety of tests for long memory finding evidence that REIT volatility does display persistence. Trading volume is found to be strongly associated with long memory. Results suggest differences in the findings with regard to REITs in comparison to the broader equity sector.