Table 4 Estimates of d for the fully sampled volatility series
From: Price and volatility persistence of the US REITs market
Series | No terms | An intercept | A linear trend |
|---|---|---|---|
White noise | |||
Price index | 0.2376 | 0.2375 | 0.2376 |
(0.0079) | (0.0079) | (0.0079) | |
Market index | 0.2381 | 0.2381 | 0.2380 |
(0.0074) | (0.0074) | (0.0074) | |
Autocorrelation | |||
Price index | 0.3016 | 0.3016 | 0.3016 |
(0.0105) | (0.0105) | (0.0105) | |
Market index | 0.3022 | 0.3022 | 0.3021 |
(0.0098) | (0.0098) | (0.0098) | |