Date of Award


Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)


Jack Welch College of Business


In partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business & Technology.

Dissertation Supervisor

Dr. Lucjan Orlowski

Committee Member

Dr. John Glascock

Committee Member

Dr. Michael Gorman


Investors requiring daily Net Asset Values (NAV) represent a large and growing source of capital for the private institutional real estate asset class. Defined contribution and other daily-valued vehicles are increasing their investments into private, direct commercial real estate through funds that estimate changes to income and values in order to mark a daily NAV. Utilizing nine years of daily data from the NCREIF Fund Index – Daily Priced, we optimize a generalized autoregressive conditional heteroskedasticity model with generalized error distribution parameterization (GARCH-GED) to better understand the influence of publicly-traded real estate securities and changes in market-implied inflation expectations on daily private real estate returns. Bai-Perron and Markov Switching regressions are used to compare periods of shifting influences on private real estate volatility in the aftermath of the Global Financial Crisis.

JEL Classification

R30, R33, G11

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



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