Abstract
This study introduces the concepts and theories relating to conditional heteroscedastic volatility models and the news impact curve, and applies them in the analysis of the tourist market in Korea. Three volatility models are used to estimate the conditional volatility of monthly arrivals of inbound tourists into Korea, and news impact curves are examined in the context of these models. The major findings of this study include the existence of monthly seasonality in conditional mean equations, the existence of asymmetric effects from the EGARCH and TARCH models, and the persistence of the impact of news shock on monthly tourist arrivals into Korea in the estimation of the GARCH model.
| Original language | English |
|---|---|
| Pages (from-to) | 457-466 |
| Number of pages | 10 |
| Journal | Journal of Travel Research |
| Volume | 44 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Jan 2006 |
Keywords
- EGARCH
- GARCH
- News shock
- TARCH
- Volatility
ASJC Scopus subject areas
- Geography, Planning and Development
- Transportation
- Tourism, Leisure and Hospitality Management