Modelling International Tourist Arrivals and Volatility: An Application to Taiwan

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 s...

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Detalles Bibliográficos
Autores: Chang, Chia-Lin, McAleer, Michael, Slottje, Daniel J.
Tipo de recurso: informe técnico
Fecha de publicación:2009
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/49252
Acceso en línea:https://hdl.handle.net/20.500.14352/49252
Access Level:acceso abierto
Palabra clave:International tourism
Taiwan
Estadística matemática (Estadística)
Economía internacional
1209 Estadística
5310 Economía Internacional
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spelling Modelling International Tourist Arrivals and Volatility: An Application to TaiwanChang, Chia-LinMcAleer, MichaelSlottje, Daniel J.International tourismTaiwanEstadística matemática (Estadística)Economía internacional1209 Estadística5310 Economía InternacionalInternational 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.Instituto Complutense de Análisis Económico. Universidad Complutense de MadridUniversidad Complutense de Madrid20092009-02-0120092009-02-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/49252reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/492522026-06-02T12:44:21Z
dc.title.none.fl_str_mv Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
title Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
spellingShingle Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
Chang, Chia-Lin
International tourism
Taiwan
Estadística matemática (Estadística)
Economía internacional
1209 Estadística
5310 Economía Internacional
title_short Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
title_full Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
title_fullStr Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
title_full_unstemmed Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
title_sort Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
dc.creator.none.fl_str_mv Chang, Chia-Lin
McAleer, Michael
Slottje, Daniel J.
author Chang, Chia-Lin
author_facet Chang, Chia-Lin
McAleer, Michael
Slottje, Daniel J.
author_role author
author2 McAleer, Michael
Slottje, Daniel J.
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv International tourism
Taiwan
Estadística matemática (Estadística)
Economía internacional
1209 Estadística
5310 Economía Internacional
topic International tourism
Taiwan
Estadística matemática (Estadística)
Economía internacional
1209 Estadística
5310 Economía Internacional
description 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.
publishDate 2009
dc.date.none.fl_str_mv 2009
2009-02-01
2009
2009-02-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/49252
url https://hdl.handle.net/20.500.14352/49252
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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