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. https://levelup.gitconnected.com/time-series-analysis-of-a-reit-portfolio-6ec082f9fe3c
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SHARESHARESHARE
TIME SERIES ANALYSIS OF A REIT PORTFOLIO
Financial modeling is a technical application as old as finance itself. Traditionally performed through excel sheets and various DCF models, I wanted to set out and use Machine Learning to build a predictive model for the movement of an asset’s price. Within a two week project time period, I set out to analyze and build predictive SARIMAX (Seasonal Auto-Regressive Integrated Moving Average with Exogeneity) models to capture the movement of eight different Real Estate Investment Trusts (REITs). Before we get into the data, it is essential to first understand the nature of a REIT. REITs are just like any other financial asset in that ownership represents a “share” of a companies profit. These companies own and operate income-producing real estate and are usually centric to a particular sector of real estate type (data centers, retail properties, Senior/Assisted living communities, healthcare, etc…). There are two main types of REITS: READ MORE