這篇論文主要探討不動產的報酬是否可以使用REITs指數避險。本論文使用ECM和雙變量GARCH模型，並以移動窗戶的方式來做不動產的避險。數據方面，我們使用NAREIT的報酬來當作REITs報酬的替代變數，Dow Jones Wilshire Real Estate Securities Index (DJW RESI)的報酬做為不動產報酬的替代變數。避險結果顯示；使用ECM 5天期的模型避險，可以規避98.17%不動產的報酬變動；使用ECM 10天期的模型避險，可以規避98.74%不動產的報酬變動；使用ECM 20天期的模型避險，可以規避98.89%不動產的報酬變動；使用ECM 40天期的模型避險，可以規避99.01%不動產的報酬變動；使用ECM 60天期的模型避險，可以規避99.00%不動產的報酬變動。使用雙變量GARCH 5天期的模型避險，可以規避98.16%不動產的報酬變動；使用雙變量GARCH 10天期的模型避險，可以規避98.74%不動產的報酬變動；使用雙變量GARCH 20天期的模型避險，可以規避98.86%不動產的報酬變動；使用雙變量GARCH 40天期的模型避險，可以規避98.96%不動產的報酬變動；使用雙變量GARCH 60天期的模型避險，可以規避98.95%不動產的報酬變動。由實驗結果可以看出，使用ECM 40天期的模型避險可以達到最佳的避險效果，並且可以規避99.01%不動產的報酬變動。因此，當投資者投資不動產時不需要再擔心不動產的價格下跌，因為投資者可以藉由放空REITs指數來達到規避不動產投資報酬的效果。

This paper investigates if real estate return can be hedged by REITs index. This paper employs ECM and Bivariate GARCH models with moving window technique to hedge real estate returns. We use return data on NAREIT index and the Dow Jones Wilshire Real Estate Securities Index (DJW RESI). NAREIT index is served as a proxy for REITs returns, and DJW RESI is designed to serve as a proxy for direct real estate investment by institutions. The hedge performance of ECM and Bivariate-GARCH model indicates that the ECM model hedges 98.17 percent return variation of DJW RESI for 5 days period, 98.74 percent return variation of DJW RESI for 10 days period, 98.89 percent return variation of DJW RESI for 20 days period, 99.01 percent return variation of DJW RESI for 40 days period, and 99.00 percent return variation of DJW RESI for 60 days period. Bivariate-GARCH can hedge 98.16 percent return variation of DJW RESI for 5 days period, 98.74 percent return variation of DJW RESI for 10 days period, 98.86 percent return variation of DJW RESI for 20 days period, 98.96 percent return variation of DJW RESI for 40 days period, and 98.95 percent return variation of DJW RESI for 60 days period. It is concluded that the longer the time lasts, the better the hedge performance is and the 40 days ECM model is the best way to hedge real estate returns. Our results show that real estate return risk can be lowered with REITs index by 99.01 percent return variation for 40 days period by using ECM model. The result reminds us that we do not have to worry about investing in real estate when its price decreasing. We can hedge real estate price return risks by shorting REITs.

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