  Using a time-varying approach, this paper examines the dynamics of volatility
in the REIT sector. The results highlight the attractiveness and suitability of
using GARCH based approaches in the modeling of daily REIT volatility. The
paper examines the influencing factors on REIT volatility, documenting the
return and volatility linkages between REIT sub-sectors and also examines the
influence of other US equity series. The results contrast with previous studies
of monthly REIT volatility. Linkages within the REIT sector and with related
sectors such as value stocks are diminished, while the general influence of
market sentiment, coming through the large cap indices is enhanced. This would
indicate that on a daily basis general market sentiment plays a more
fundamental role than more intuitive relationships within the capital markets.
