Wang, JiqianGupta, RanganCepni, OguzhanMa, Feng2023-11-292023Jiqian Wang, Rangan Gupta, Oğuzhan Çepni & Feng Ma (2023) Forecasting international REITs volatility: the role of oil-price uncertainty, The European Journal of Finance, 29:14, 1579-1597, DOI: 10.1080/1351847X.2022.2137422.1351-847X (print)1466-4364 (online)10.1080/1351847X.2022.2137422http://hdl.handle.net/2263/93529We forecast realized variance (RV) of Real Estate Investment Trusts for 10 leading markets and regions, derived from 5-minutes-interval intraday data, based on the information content of two alternative metrics of daily oil-price uncertainty. Based on the period of the analysis covering January 2008 to July 2020, and using variants of the popular MIDAS-RV model, augmented to include oil market uncertainties, captured by its RV (also derived from 5-minute intraday data) and implied volatility (i.e. the oil VIX), we report evidence of significant statistical and economic gains in the forecasting performance. The result is robust to the size of the forecasting samples, including that of the COVID-19 period, lag-length, nonlinearities, asymmetric effects, and forecast horizon. Our results have important implications for investors and policymakers.en© 2022 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in European Journal of Finance, vol. 29, no. 14, pp. 1579-1597, 2023. doi : 10.1080/1351847X.2022.2137422. European Journal of Finance is available online at : http://www.tandfonline.com/loi/rejf20.Real estate investment trusts (REITs)International dataRealized volatility forecastOil-price uncertaintyForecastingSDG-08: Decent work and economic growthPostprint Article