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Modelling International Tourist Arrivals and Volatility: An Application to Taiwan


Chang, Chia-Lin y McAleer, Michael y Slottje, Dan (2009) Modelling International Tourist Arrivals and Volatility: An Application to Taiwan. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0906, 2009, ] (No publicado)

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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.

Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

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

Palabras clave:International tourism, Taiwan
Materias:Ciencias > Estadística > Estadística Matemática
Ciencias Sociales > Economía > Economía internacional
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:8592

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