Price and volatility persistence of the US REITs market

Future Business Journal

Table 10 Semiparametric estimates of d for the pre- and post-crisis periods (volatility series)

w		T^0.4	T^0.45	T^0.5	T^0.55	T^0.6	T^0.65	T^0.7	T^0.75	T^0.76	T^0.79
Price index	Pre-crisis	0.2750	0.3411	0.4584	0.5371	0.5127	0.4924	0.3925	0.4591	0.4591	0.6485
	Crisis	0.5714	0.7335	0.9937	1.0127	0.8181	0.7251	0.7749	0.9648	0.7864	0.7864
	Post-crisis	0.7785	0.8353	0.7296	0.3898	0.2851	0.1883	0.2260	0.1554	0.1979	0.2160
Market index	Pre-crisis	0.4141	0.3375	0.4205	0.4841	0.4159	0.4295	0.3279	0.3570	0.3887	0.4978
	Crisis	0.5734	0.7349	0.9909	1.0122	0.8152	0.7234	0.7737	0.9651	0.7873	0.7873
	Post-crisis	0.7785	0.8357	0.7267	0.3884	0.2863	0.1897	0.2267	0.1556	0.1980	0.2155

w and T are the bandwidth number and the total number of observations, respectively. Values in bold are those cases where the d estimates are significantly lower than 0.5