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 EI 2010-47, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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: asymmetric effect; conditional volatility; leverage; risk; tourist arrivals (search for similar items in EconPapers)
JEL-codes: C22 G32 L83 (search for similar items in EconPapers)
Date: 2010-07-29
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Citations: View citations in EconPapers (1)

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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 (2011)
Working Paper: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan (2010)
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