Chang, Chia-Lin and McAleer, Michael and Lim, Christine (2011) Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 28, 2011, ] (Unpublished)
Creative Commons Attribution Non-commercial.
Official URL: http://eprints.ucm.es/12999/
This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. In order to model appropriately the volatilities of international tourist arrivals, we use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the GARCH (1,1), GJR (1,1) and EGARCH (1,1) models. The data series are for the period January 1997 to December 2007. The volatility estimates for the monthly growth in Japanese tourists to New Zealand and Taiwan are different, and indicate that the former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby negative shocks increase volatility but positive shocks of similar magnitude decrease volatility. These empirical results seem to be similar to a wide range of financial stock market prices, so that the models used in financial economics, and hence the issues related to risk and leverage effects, are also applicable to international tourism flows.
|Item Type:||Working Paper or Technical Report|
|Uncontrolled Keywords:||Tourist arrivals, Lng haul, Sort haul, Rsk, Conditional volatility, Aymmetric effect, Lverage.|
|Subjects:||Social sciences > Economics > Tourism|
Social sciences > Economics > Econometrics
Social sciences > Economics > Economic indicators
|JEL:||C22, G32, L83|
|Series Name:||Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)|
Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327.
Bollerslev, T., Chou, R.Y., and Kroner, K.F. (1992), ARCH modeling in finance - A review of the theory and empirical evidence, Journal of Econometrics, 52, 5-59.
Bollerslev, T., and Wooldridge, J. (1992), Quasi maximum likelihood estimation and inference in dynamic models with time varying variances, Econometric Reviews, 11, 143-172.
Boussama, F. (2000), Asymptotic normality for the quasimaximum likelihood estimator of a GARCH model, Comptes Rendus de l’Academie des Sciences, Serie I, 331, 81-84 (in French).
Chan, F., Lim, C., and McAleer, M. (2005), Modelling multivariate international tourism demand and volatility, Tourism Management, 26, 459-471.
Dickey, D.A., and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
Dickey, D.A., and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
Elie, L., and Jeantheau, T. (1995), Consistency in heteroskedastic models, Comptes Rendus de l’Académie des Sciences, Série I, 320, 1255-1258 (in French).
Elliott, G., Rothenberg, T.J., and Stock, J.H. (1996), Efficient tests for an autoregressive unit root, Econometrica, 64, 813-836.
Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.
Glosten, L., Jagannathan, R., and Runkle, D. (1992), On the relation between the expected value and volatility of nominal excess return on stocks, Journal of Finance, 46, 1779-1801.
Jeantheau, T. (1998), Strong consistency of estimators for multivariate ARCH models, Econometric Theory, 14, 70-86.
Lee, S.W., and Hansen, B.E. (1994), Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator, Econometric Theory, 10, 29-52.
Li, W.K., Ling, S., and McAleer, M. (2002), Recent theoretical results for time series models with GARCH errors, Journal of Economic Surveys, 16, 245-269. Reprinted in McAleer, M. and Oxley, L. (eds.), Contributions to Financial Econometrics: Theoretical and Practical Issues, Blackwell, Oxford, 2002, pp. 9-33.
Lim, C., and McAleer, M. (2001), Monthly seasonal variations in Asian tourism to Australia, Annals of Tourism Research, 28, pp 68-82.
Lim, C., Min, J.C.H., and McAleer, M. (2007), ARMAX modelling of international tourism demand, in Oxley, L. and Kulasiri, D. (eds.), MODSIM 2007 International Congress on Modelling and Simulation, MSSANZ, Christchurch, New Zealand, pp. 1885-1891.
Lim C., Min, J. C. H., and McAleer, M. (2008), Modelling income effects on long and short haul international travel from Japan, Tourism Management, 29, 1099-1109.
Ling, S., and Li, W.K. (1997), On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity, Journal of the American Statistical Association, 92, 1184-1194.
Ling, S., and McAleer, M. (2002a), Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, 106, 109-117.
Ling, S., and McAleer, M. (2002b), Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models, Econometric Theory, 18, 722-729.
Ling, S., and McAleer, M. (2003a), Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory, 19, 278-308.
Ling, S., and McAleer, M. (2003b), On adaptive estimation in nonstationary ARMA models with GARCH errors, Annals of Statistics, 31, 642-674.
McAleer, M. (2005), Automated inference and learning in modeling financial volatility, Econometric Theory, 21, 232-261.
McAleer, M. (2009), The Ten Commandments for optimizing value-at-risk, Journal of Economic Surveys, 23, 831-849.
McAleer, M., Chan, F., and Marinova, D. (2007), An econometric analysis of asymmetric volatility: Theory and application to patents, Journal of Econometrics, 139, 259-284.
Nelson, D.B. (1991), Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 59, 347-370.
New Zealand Department of Statistics (1997-2007), Monthly Tourist Arrivals, Wellington, NZ.
Ng, S., and Perron, P. (2001), Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-1554.
Perron, P., and Ng, S. (1996), Useful modifications to some unit root tests with dependent errors and their local asymptotic properties, Review of Economic Studies, 63, 435-463.
Phillips, P.C.B., and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75, 335-346.
Shareef, R., and McAleer, M. (2007), Modelling the uncertainty in monthly international tourist arrivals to the Maldives, Tourism Management, 28, 23-45.
Shareef, R., and McAleer, M. (2008), Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach, Mathematics and Computers in Simulation, 78, 459-468.
Shephard, N. (1996), Statistical aspects of ARCH and stochastic volatility, in Barndorff-Nielsen, O.E., Cox, D.R., and Hinkley, D.V. (eds.), Statistical Models in Econometrics, Finance and Other Fields, Chapman and Hall, London, pp 1-67.
Taiwan Tourism Bureau (1997-2007), Monthly Report on Tourism, Tourism Bureau, Taipei.
Taiwan Tourism Bureau (2006), 2005 Survey Report on Visitors Expenditure and Trends in Taiwan, Tourism Bureau, Taipei.
Tourism New Zealand (2006), Japan, http://www.tourismnewzealand.com/tourism_info/market-research/market-guides, October 25, 2006.
World Tourism Organisation (2006), Tourism Highlights 2005 Edition, World Tourism Organisation, Madrid.
|Deposited On:||20 Jul 2011 07:44|
|Last Modified:||17 Jun 2016 09:00|
Repository Staff Only: item control page