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

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...

Descripción completa

Detalles Bibliográficos
Autores: Chang, Chia-Lin, McAleer, Michael, Lim, Christine
Tipo de recurso: informe técnico
Fecha de publicación:2011
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/49026
Acceso en línea:https://hdl.handle.net/20.500.14352/49026
Access Level:acceso abierto
Palabra clave:C22
G32
L83
Tourist arrivals
Long haul
Short haul
Risk
Conditional volatility
Asymmetric effect
Leverage.
Turismo
Econometría (Economía)
5312.90 Economía Sectorial: Turismo
5302 Econometría
id ES_e8f6f88293e28cebe72fcf01d00bb653
oai_identifier_str oai:docta.ucm.es:20.500.14352/49026
network_acronym_str ES
network_name_str España
repository_id_str
spelling Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and TaiwanChang, Chia-LinMcAleer, MichaelLim, ChristineC22G32L83Tourist arrivalsLong haulShort haulRiskConditional volatilityAsymmetric effectLeverage.TurismoEconometría (Economía)5312.90 Economía Sectorial: Turismo5302 EconometríaThis 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.Universidad Complutense de Madrid20112011-08-0120112011-08-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/49026reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/490262026-06-02T12:44:21Z
dc.title.none.fl_str_mv Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
title Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
spellingShingle Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Chang, Chia-Lin
C22
G32
L83
Tourist arrivals
Long haul
Short haul
Risk
Conditional volatility
Asymmetric effect
Leverage.
Turismo
Econometría (Economía)
5312.90 Economía Sectorial: Turismo
5302 Econometría
title_short Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
title_full Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
title_fullStr Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
title_full_unstemmed Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
title_sort Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
dc.creator.none.fl_str_mv Chang, Chia-Lin
McAleer, Michael
Lim, Christine
author Chang, Chia-Lin
author_facet Chang, Chia-Lin
McAleer, Michael
Lim, Christine
author_role author
author2 McAleer, Michael
Lim, Christine
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv C22
G32
L83
Tourist arrivals
Long haul
Short haul
Risk
Conditional volatility
Asymmetric effect
Leverage.
Turismo
Econometría (Economía)
5312.90 Economía Sectorial: Turismo
5302 Econometría
topic C22
G32
L83
Tourist arrivals
Long haul
Short haul
Risk
Conditional volatility
Asymmetric effect
Leverage.
Turismo
Econometría (Economía)
5312.90 Economía Sectorial: Turismo
5302 Econometría
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-08-01
2011
2011-08-01
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/20.500.14352/49026
url https://hdl.handle.net/20.500.14352/49026
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
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
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
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
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
_version_ 1869422987141185536
score 15.811543

Similares en LA Referencia