RT Report
T1 Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
A1 Chang, Chia-Lin
A1 McAleer, Michael
A1 Lim, Christine
AB 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.
YR 2011
FD 2011-08
LK https://hdl.handle.net/20.500.14352/49026
UL https://hdl.handle.net/20.500.14352/49026
LA eng
NO 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..
NO the National Science Council, Taiwan
NO the Australian Research Council
NO the Japan Society for the Promotion of Science
DS Docta Complutense
RD 12 may 2025