Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chia-Lin Chang (), Michael McAleer and Christine Lim

No 2011-31, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: 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.

Keywords: Tourist arrivals; Long haul; Short haul; Risk; Conditional volatility; Asymmetric effect; Leverage. (search for similar items in EconPapers)
Pages: 32 pages
Date: 2011
Note: For financial support, the first author acknowledges the National Science Council, Taiwan, and the second author acknowledges the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.. ** Corresponding author: Chia-Lin Chang, Department of Applied Economics, National Chung Hsing University, Taichung, 250 Kuo Kuang Road, National Chung Hsing University Taichung 402, Taiwan. Email: changchialin@nchu.edu.tw.
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https://eprints.ucm.es/id/eprint/13217/1/1131.pdf revised july 2011 (application/pdf)

Related works:
Working Paper: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (2011)
Working Paper: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (2011)
Working Paper: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (2011)
Working Paper: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (2010)
Working Paper: Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan (2010)
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