Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/43089
Title: Effects of news shock on inbound tourist demand volatility in Korea
Authors: Kim, SS
Wong, KF
Keywords: Volatility
GARCH
EGARCH
TARCH
News shock
Issue Date: 2006
Publisher: SAGE Publications
Source: Journal of travel research, 2006, v. 44, p. 457-466 How to cite?
Journal: Journal of travel research 
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.
URI: http://hdl.handle.net/10397/43089
ISSN: 0047-2875 (print)
1552-6763 (online)
DOI: 10.1177/0047287505282946
Appears in Collections:Journal/Magazine Article

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