Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang 
Author-Email: changchialin@nchu.edu.tw
Author-Workplace-Name: Department of Applied Economics National Chung Hsing University,Taichung, Taiwan
Author-Name: Michael McAleer
Author-Workplace-Name: Universidad Complutense de Madrid.Department of Quantitative Economics
Author-Name: Dan Slottje 
Author-Workplace-Name: FTI Consulting and Department of Economics Southern Methodist University
Title: Modelling International Tourist Arrivals and Volatility: An Application to Taiwan
Abstract: 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.
Creation-Date: 2009
Number: 2009-06
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0906.txt
File-URL: https://eprints.ucm.es/id/eprint/8592/1/0906.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0906