Abstract
[...]we utilize MGARCH (Multivariate GARCH) and find once again that the major developed markets are highly integrated with the US REIT market, except for the Far East, Japan, and Australia.[...]from a US investor perspective, adding foreign real estate is better than adding foreign stock or domestic REITs.The real estate market has displayed a considerably increased level of volatility during this period, especially since the latter half of 2006.[...]this time horizon sets itself as an ideal laboratory to understand the dynamics and drivers of volatility of returns in the real estate sector, and the impact of US REIT returns on global REIT returns.Irrespective of specification used in the Phillip- Perron test and Augmented Dickey-Fuller test the null hypothesis is rejected.[...]it can be said that three series are stationary in nature and do not have unit roots and we can safely carry out the intended time-series analysis.