DAILY TOURIST ARRIVALS, EXCHANGE RATES AND VOLATILITY FOR KOREA AND TAIWAN
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and a significant part of the global financial crisis of 2008-09. Inclusion of the exchange rate allows approximate daily price effects on Korean tourism arrivals to Taiwan to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture approximate long memory properties in exchange rates and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models.
Abstract
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and a significant part of the global financial crisis of 2008-09. Inclusion of the exchange rate allows approximate daily price effects on Korean tourism arrivals to Taiwan to be captured. The Heterogeneous Autoregressive (HAR) model is used to capture approximate long memory properties in exchange rates and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the conditional volatility estimates are not sensitive to the long memory nature of the conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models.
참고문헌 (39)
- Bollerslev,T, "Generalised Autoregressive Conditional Heteroscedasticity", Journal of Econometrics, 31, pp.307~327 (1986)
- Boussama,F, "Asymptotic Normality for the Quasi-Maximum Likelihood Estimator of a GARCH Model", pp.81~84 (2000), Comptes Rendus de l’Academie des Sciences
- Chan, F, "Modelling Multivariate International Tourism Demand and Volatility", Tourism Management, 26, pp.459~471 (2005)
- Chang, C.-L., "Modelling International Tourist Arrivals and Volatility: An Application to Taiwan", Quantifying Consumer Preferences, Contributions to Economic Analysis Series, 288, pp.303~320 (2009)
- Corsi,F, "A Simple Approximate Long-Memory Model of Realized Volatility", Journal of Financial Econometrics, 7, pp.174~196 (2009)
- Dickey, D. A, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74, pp.427~431 (1979)
- Dickey, D. A, "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, 49, pp.1057~1072 (1981)
- Divino, J. A, "Modelling and Forecasting Sustainable International Tourism Demand for the Brazilian Amazon", Environmental Modelling & Software, 24, pp.1411~1419 (2009)
- Divino, J.A, "Modelling the Growth and Volatility in Daily International Mass Tourism to Peru", to Appear in Tourism Management, ~ (2010)
- Elie, L, "Consistency in Heteroskedastic Models", Comptes Rendus de l’Académie des Sciences, 320, pp.1255~1258 (1995)
- Engle,R.F, "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50, pp.987~1007 (1982)
- Glosten, L, "On the Relation between the Expected Value and Volatility of Nominal Excess Return on Stocks", Journal of Finance, 46, pp.1779~1801 (1992)
- Hoti, S, "Modelling Country Risk and Uncertainty in Small Island Tourism Economies", Tourism Economics, 11, pp.159~183 (2005)
- Hoti, S, "Modelling International Tourism and Country Risk Spillovers for Cyprus and Malta", Tourism Management, 28, pp.1472~84 (2007)
- Jeantheau,T, "Strong Consistency of Estimators for Multivariate ARCH Models", Econometric Theory, 14, pp.70~86 (1998)
- Lee, S. W, "Asymptotic Theory for the GARCH(1,1) Quasi-Maximum Likelihood Estimator", Econometric Theory, 10, pp.29~52 (1994)
- Li, W. K, "Recent Theoretical Results for Time Series Models with GARCH Errors", Journal of Economic Surveys, 16, pp.245~269 (2002)
- Ling, S, "On Fractionally Integrated Autoregressive Moving-Average Models with Conditional Heteroskedasticity", Journal of the American Statistical Association, 92, pp.1184~1194 (1997)
- Ling, S, "Stationarity and the Existence of Moments of a Family of GARCH Processes", Journal of Econometrics, 106, pp.109~117 (2002)
- Ling, S, "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models", Econometric Theory, 18, pp.722~729 (2002)
- Ling, S, "Asymptotic Theory for a Vector ARMAGARCH Model", Econometric Theory, 19, pp.278~308 (2003)
- Ling, S, "“On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors", Annals of Statistics, 31, pp.642~674 (2003)
- McAleer,M, "Automated Inference and Learning in Modeling Financial Volatility", Econometric Theory, 21, pp.232~261 (2005)
- McAleer,M, "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges", Journal of Economic Surveys, 23, pp.831~849 (2009)
- McAleer, M, "An Econometric Analysis of Asymmetric Volatility: Theory and Application to Patents", Journal of Econometrics, 139, pp.259~284 (2007)
- "Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?"[URL]
- "Optimal Risk Management before, During and after the 2008-09 Financial Crisis"[URL]
- "What Happened to Risk Management During the 2008-09 Financial Crisis?"[URL]
- "A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk"[URL]
- McAleer, M, "A Multiple Regime Smooth Transition Heterogeneous Autoregressive Model for Long Memory and Asymmetries", Journal of Econometrics, 147(1), pp.104~119 (2008)
- McAleer, M, "Forecasting Value-at-Risk with a Parsimonious Portfolio Spillover GARCH (PS-GARCH) Model", Journal of Forecasting, 27, pp.1~19 (2008)
- McAleer, M, "Single-Index and Portfolio Models for Forecasting Value-at-Risk Thresholds", Journal of Forecasting, 27, pp.217~235 (2008)
- Muller, U, "Fractals and Intrinsic Time - a Challenge to Econometricians", in Proceedings of the XXXIXth International AEA Conference on Real Time Econometrics (1993)
- Nelson,D.B, "Conditional heteroscedasticity in Asset Returns: a New Approach", Econometrica, 59, pp.347~370 (1991)
- Phillips, P. C. B, "Testing for a Unit Root in Time Series Regression", Biometrika, 75, pp.335~346 (1988)
- Shareef, R, "Modelling International Tourism Demand and Volatility in Small Island Tourism Economies", International Journal of Tourism Research, 7, pp.313~333 (2005)
- Shareef, R, "Modelling the Uncertainty in International Tourist Arrivals to the Maldives", Tourism Management, 28, pp.23~45 (2007)
- Shareef, R, "Modelling International Tourism Demand and Uncertainty in Maldives and Seychelles: a Portfolio Approach", Mathematics and Computers in Simulation, 78, pp.459~68 (2008)
- Shephard,N, "Statistical Aspects of ARCH and Stochastic Volatility", pp.1~67 (1996), Statistical Models in Econometrics, Finance and Other Fields, Chapman & Hall,London