From: Price and volatility persistence of the US REITs market
Series | No terms | An intercept | A linear trend |
---|---|---|---|
White noise | |||
Price  index | 0.9056 | 0.8882 | 0.8847 |
(0.0088) | (0.0094) | (0.0096) | |
Market  index | 0.9493 | 0.9046 | 0.8929 |
(0.0067) | (0.1245) | (0.0091) | |
Autocorrelation | |||
Price index | 0.9706 | 0.9607 | −0.1140 |
(0.0122) | (0.0147) | (0.0097) | |
 Market index | 0.9906 | 0.9746 | −0.1058 |
(0.0076) | (0.0134) | (0.0092) |