Keywords
island economies, tourist arrivals, conditional volatility, garch, gjr, regularity conditions
Start Date
1-7-2004 12:00 AM
Abstract
Volatility in monthly international tourist arrivals is defined as the squared deviation frommean monthly international tourist arrivals. Consequently, volatility is directly related to the standarddeviation, which is a common measure of financial risk. Fluctuating variations, or conditional volatility, ininternational monthly tourist arrivals are typically associated with unanticipated events. There are timevaryingeffects related to SITEs, such as natural disasters, ethnic conflicts, crime, the threat of terrorism, andbusiness cycles in tourist source countries, among others, which cause variations in monthly internationaltourist arrivals. In this paper, we show how the generalised autoregressive conditional heteroscedasticity(GARCH) model can be used to measure the conditional volatility in monthly international tourist arrivals tosix SITEs, namely Barbados, Cyprus, Dominica, Fiji, Maldives and Seychelles, and to appraise theimplications of conditional volatility of SITEs for modelling tourist arrivals.
Volatility in International Tourism Demand for Small Island Tourism Economies
Volatility in monthly international tourist arrivals is defined as the squared deviation frommean monthly international tourist arrivals. Consequently, volatility is directly related to the standarddeviation, which is a common measure of financial risk. Fluctuating variations, or conditional volatility, ininternational monthly tourist arrivals are typically associated with unanticipated events. There are timevaryingeffects related to SITEs, such as natural disasters, ethnic conflicts, crime, the threat of terrorism, andbusiness cycles in tourist source countries, among others, which cause variations in monthly internationaltourist arrivals. In this paper, we show how the generalised autoregressive conditional heteroscedasticity(GARCH) model can be used to measure the conditional volatility in monthly international tourist arrivals tosix SITEs, namely Barbados, Cyprus, Dominica, Fiji, Maldives and Seychelles, and to appraise theimplications of conditional volatility of SITEs for modelling tourist arrivals.
