Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University
	Taichung, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Author-Name: Christine Lim
Author-Person: pli324
Author-Workplace-Name: Division of Marketing and International Business, Nanyang Technological University, Singapore.
Title: Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
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: Tourist arrivals, Long haul, Short haul, Risk, Conditional volatility, Asymmetric effect, Leverage.
Note: 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..
	** Corresponding author: Chia-Lin Chang, Department of Applied Economics, National Chung Hsing University, 
	Taichung, 250 Kuo Kuang Road, National Chung Hsing University Taichung 402, Taiwan. Email: changchialin@nchu.edu.tw.
Length: 32 pages 
Creation-Date: 2011 
Number: 2011-31
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1131.txt
File-URL: https://eprints.ucm.es/id/eprint/13217/1/1131.pdf
File-Format: Application/pdf
File-Function: revised july 2011
Handle: RePEc:ucm:doicae:1131