earticle

영어

The purpose of this study is analyzed by using the ARCH model to find the behavior in reits returns of monthly korean reits during january 2002 to may 2014. Empirical results here show that there are statistically significant conditional heteroscedasticity during the period in rising returns. And also, this paper has analyzed the ARCH-M model in K-reits returns to find the volatility in conditional returns and variance as time goes. It is found that conditional returns and variance is the positive relationship even if the statistical significance is low. This results indicate the partial existence of trade-off between returns and risk.