Forecasting the Volatility of REITs Return of Chinese Mainland Using BP Neural Network Approach
Publication: ICCREM 2021
ABSTRACT
As Real Estate Investment Trusts (REITs) becoming an important investment and financing tool in China, the volatility of REITs return has been paid more attention. This paper aims to improve the predicting accuracy of REITs volatility using BP neural network. Based on the data of Chinese mainland REITs projects which are listed in Hong Kong, this paper chooses the volatility of REITs return as the output variable, and several relevant factors like stock index as the input variables. It can be found that BP neural network method has a good performance on forecasting the volatility of REITs return. Researchers can use neural network as an effective method in further REITs research in China.
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ICCREM 2021
Pages: 938 - 943
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© 2021 American Society of Civil Engineers.
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Published online: Dec 9, 2021
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