Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model

Yutao Wu

doi:10.47297/wspdecWSP2515-797310.20250911

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Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model

9卷第11期

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Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model
Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model
School of Finance, Zhejiang Gongshang University, Hangzhou, Zhejiang, 310018, China
2025年9卷第11期页码：48-54
纸质出版：2025-11-30
DOI：10.47297/wspdecWSP2515-797310.20250911
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Yutao Wu. (2025). Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model. 发展经济学, 9(11), 48-54.

Wu Yutao.Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model[J].Development Economics of China,2025,09(11):48-54.
Yutao Wu. (2025). Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model. 发展经济学, 9(11), 48-54. DOI： 10.47297/wspdecWSP2515-797310.20250911.

Wu Yutao.Research on Investment Risks of Transportation REITs Based on the GARCH-VaR Model[J].Development Economics of China,2025,09(11):48-54. DOI： 10.47297/wspdecWSP2515-797310.20250911.

摘要

Abstract

This study focuses on China's transportation Real Estate Investment Trusts (REITs). Addressing the issues of complex return volatility characteristics and the inability of traditional risk models to accurately depict extreme risks

a dynamic risk measurement framework based on the GARCH-VaR model is constructed. Daily return data of three transportation REITs—Ping An Guangzhou-Guangzhou-Hengyang Expressway REIT

China Universal Yuexiu Expressway REIT

and Zheshang Shanghai-Hangzhou-Ningbo Expressway REIT—are selected. Descriptive statistics

stationarity tests

and ARCH effect tests are conducted to verify their leptokurtic

fat-tailed

and volatility clustering characteristics. On this basis

the GARCH model is established to calculate VaR values at the 95% confidence level

and the Kupiec failure rate test is used to evaluate model effectiveness. The results show that the GARCH-VaR model provides accurate risk measurement for Ping An Guangzhou-Guangzhou-Hengyang Expressway REIT and Zheshang Shanghai-Hangzhou-Ningbo Expressway REIT

but underestimates the risks of China Universal Yuexiu Expressway REIT. This study offers a more scientific dynamic risk early warning tool for REITs investors and empirical evidence for regulatory authorities to improve risk management mechanisms.

关键词

Keywords

references

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