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

Abstract

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.