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MASTER THESIS
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Understanding the volatility of European REITs : An approach based on GARCH models

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Lengelé, Martin ULiège
Promotor(s) : Hübner, Georges ULiège
Date of defense : 31-Aug-2021/6-Sep-2021 • Permalink : http://hdl.handle.net/2268.2/13576
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Title : Understanding the volatility of European REITs : An approach based on GARCH models
Translated title : [fr] Comprendre la volatilité des REITs Européens: une approche par les modèles GARCH
Author : Lengelé, Martin ULiège
Date of defense  : 31-Aug-2021/6-Sep-2021
Advisor(s) : Hübner, Georges ULiège
Committee's member(s) : Scivoletto, Alexandre ULiège
Dare, Wale ULiège
Language : English
Number of pages : 87
Keywords : [fr] GARCH
[fr] EGARCH GJR-GARCH
[fr] conditional variance
[fr] volatility
[fr] European REITs
Discipline(s) : Business & economic sciences > Finance
Target public : Student
General public
Other
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] The purpose of this master thesis is to analyse the behaviour of European REITs in terms of volatility during economic steady growth and during crisis situations (bear markets). I will try to find out how some REITs behave in comparison to other REITs (geographically speaking).
We faced and are facing a huge health crisis and it has affected the stock market violently; how did six different country-specific REIT indices behave?
The six European REITs indices are the following: Belgium REIT index, France REIT index, the Netherlands REIT index, Germany REIT index, Spain REIT index and The UK REIT index.
The ultimate goal is trying to find out overall conclusions regarding the multiple behaviours of REITs regarding their patterns, geography.


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Author

  • Lengelé, Martin ULiège Université de Liège > Master ingé. gest., à fin.

Promotor(s)

Committee's member(s)

  • Scivoletto, Alexandre ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
    ORBi View his publications on ORBi
  • Dare, Wale ULiège Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Analyse financière et finance d'entr.
    ORBi View his publications on ORBi
  • Total number of views 145
  • Total number of downloads 265










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