Price and volatility persistence of the US REITs market

Future Business Journal

Table 8 Estimates of d for the pre- and post-crisis periods (volatility series)

Series		No terms	An intercept	A linear trend
White noise
Price index	Pre-crisis	0.1951	0.1950	—
	Pre-crisis	(0.0139)	(0.0139)
	Crisis	0.2107	0.2107	0.1177
	Crisis	(0.0387)	(0.0387)	(0.0431)
	Post-crisis	0.2556	0.2567	0.2406
	Post-crisis	(0.0115)	(0.0115)	(0.0115)
Market index	Pre-crisis	0.1970	0.1970	—
	Pre-crisis	(0.0120)	(0.0120)
	Crisis	0.2111	0.2111	0.1184
	Crisis	(0.0387)	(0.0388)	(0.0431)
	Post-crisis	0.2557	0.2569	0.2407
	Post-crisis	(0.0115)	(0.0115)	(0.0115)
Autocorrelation
Price index	Pre-crisis	0.2576	0.2576	—
	Pre-crisis	(0.0149)	(0.0199)
	Crisis	0.2798	0.2799	0.1708
	Crisis	(0.0506)	(0.0507)	(0.0595)
	Post-crisis	0.3195	0.3225	0.3027
	Post-crisis	(0.0157)	(0.0156)	(0.0155)
Market index	Pre-crisis	0.2605	0.2605	—
	Pre-crisis	(0.0174)	(0.0174)
	Crisis	0.2798	0.2799	0.1713
	Crisis	(0.0506)	(0.0507)	(0.0594)
	Post-crisis	0.3210	0.3240	0.3042
	Post-crisis	(0.0158)	(0.0157)	(0.0156)

Significant values based on the deterministic terms are in bold, while the values in parentheses are the standard errors