最大房地產交易所交易基金（ETFs）收益的部分整合

Fractional Integration in the Returns of the Largest Real Estate Exchange-traded Funds (ETFs)

這篇論文將部分整合模型應用於兩個最大房地產交易所交易基金（ETFs）的收益，即先鋒房地產投資信託公司交易所交易基金（Vanguard REIT ETF，標籤：VNQ）及愛分享．道瓊斯房地產交易所交易基金（iSharesDow Jones Real Estate ETFs，標籤：IYR）。這項研究發現IYR交易所交易基金（ETF）在自回歸移動平均部分整合（ARFIMA）模型擁有反持續性的屬性。自回歸移動平均部分整合與通用性自回歸條件異方差部分整合（ARFIMA－FIGARCH）模型的結合，以及自回歸移動平均部分整合與力量非對稱的自回歸條件異方差部分整合（ARFIMA－FIAPARCH）模型的結合都為 IYR ETF證實了這項發現，並界定VNQ ETF擁有一樣的反持續性的屬性。依據在波動結構裡交易所交易基金（ETF）的可預測性，ARFIMA-FIGARCH及ARFIMAFIAPARCH模型都證實了VNQ及IYR的交易所交易基金（ETF）擁有長記憶性的屬性。根據之前的數據，它們的可預測性沒有依照法瑪（Fama, 1970）的弱勢效率假說。ARFIMA-FIAPARCH模型非對稱波動性的存在以加馬（γ）參數代表證實了VNQ及IYR的交易所交易基金（ETF）被負面新聞的影響遠大於正面的新聞。

This paper applies fractional integration models to the returns of the two largest Real Estate exchangetraded funds (ETFs), namely, Vanguard REIT ETF (ticker: VNQ) and iShares Dow Jones Real Estate ETFs (ticker: IYR). This study finds that IYR ETF has an anti-persistence property based on the autoregressive fractionally integrated moving average (ARFIMA) model. The combined ARFIMA-fractionally integrated general autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) models, and the combined ARFIMA-fractionally integrated asymmetric power autoregressive conditional heteroskedasticity (ARFIMAFIAPARCH) models also confirm this finding for the IYR ETF, and also define the VNQ ETF with the same anti-persistence property. In terms of the ETFs' predictability in volatility structure, both the ARFIMAFIGARCH and ARFIMA-FIAPARCH models confirm the long-memory properties of the VNQ and IYR ETFs. Their predictability based on previous data do not follow Fama's (1970) weak-form efficiency hypothesis. The presence of volatility asymmetry represented by the gamma (γ) parameter of the ARFIMA-FIAPARCH models proved that the VNQ and IYR ETFs are greatly affected by negative news more than positive news.