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Modelling International Tourist Arrivals and Volatility: An Application to Taiwan

Chang, Chia-Lin and McAleer, Michael and Slottje, Dan (2009) Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. [Working Paper or Technical Report] (Unpublished)

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Abstract

International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or the People’s Republic of China), the leading tourism source countries for Taiwan are Japan, followed by USA, Republic of Korea, Malaysia, Singapore, UK, Germany and Australia. These countries reflect short, medium and long haul tourist destinations. Although the People’s Republic of China and Hong Kong are large sources of tourism to Taiwan, the political situation is such that tourists from these two sources to Taiwan are reported as domestic tourists. Daily data from 1 January 1990 to 30 June 2007 are obtained from the National Immigration Agency of Taiwan. The Heterogeneous Autoregressive (HAR) model is used to capture long memory properties in the data. In comparison with the HAR(1) model, the estimated asymmetry coefficients for GJR(1,1) are not statistically significant for the HAR(1,7) and HAR(1,7,28) models, so that their respective GARCH(1,1) counterparts are to be preferred. These empirical results show that the conditional volatility estimates are sensitive to the long memory nature of the conditional mean specifications. Although asymmetry is observed for the HAR(1) model, there is no evidence of leverage. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for international tourist arrivals to Taiwan are statistically adequate and have sensible interpretations. However, asymmetry (though not leverage) was found only for the HAR(1)model, and not for the HAR(1,7) and HAR(1,7,28) models.

Item Type:Working Paper or Technical Report
Additional Information:Chia-Lin Chang pertenece al Department of Applied Economics National Chung Hsing University Taichung, Taiwan. Michael McAleer pertenece al Department of Quantitative Economics, Complutense University of Madrid. Dan Slottje pertenece al FTI Consulting and Department of Economics Southern Methodist University
Uncontrolled Keywords:International tourism, Taiwan
Subjects:Sciences > Statistics > Mathematical statistics
Social sciences > Economics > World economy
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2009
Number:0906
ID Code:8592
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Deposited On:05 Mar 2009 10:38
Last Modified:06 Feb 2014 08:10

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