Modelling Monthly International Tourist Arrivals and Its Risk in Nepal
The volume of international tourist arrivals is the prime concern for both the tourism entrepreneurs and policy makers, as the arrivals is directly associated with foreign exchange earnings or export benefits, and tourism induced economic activities. The overall average annual growth of international tourist arrivals in the country over the last 40 years is about 6.65 percent. The mean contribution of tourism sector as a percentage of GDP was 2.67 percent during the last 35 years. This paper explores the risk associated in the Nepalese tourism industry taking account of monthly international tourist arrivals. The symmetric and asymmetric conditional mean and volatility models, GARCH, GARCH-GJR and EGARCH with exogenous ARMA terms were applied for data analysis. The empirical results showed that the long run risk or volatility is persistence in monthly international tourist arrivals and estimated coefficients are statistically significant. The volatility can be inferred as risk or uncertainty as sociated with international tourist arrivals in Nepalese tourism industry. Therefore, this empirical study envisages sufficient room for intervening or amending the tourism policy to better attract international visitors and promote tourism as a business.
Volume (Year): 24 (2012)
Issue (Month): 1 (April)
|Contact details of provider:|| Web page: http://www.nrb.org.np/ecorev/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christine Lim & Michael McAleer, 2000. "A seasonal analysis of Asian tourist arrivals to Australia," Applied Economics, Taylor & Francis Journals, vol. 32(4), pages 499-509.
- John M. Piotrowski & Rabah Arezki & Reda Cherif, 2009.
"Tourism Specialization and Economic Development; Evidence from the UNESCO World Heritage List,"
IMF Working Papers
09/176, International Monetary Fund.
- Arezki, Rabah & Cherif, Reda & Piotrowski, John, 2009. "Tourism Specialization and Economic Development: Evidence from the UNESCO World Heritage List," MPRA Paper 17132, University Library of Munich, Germany.
- McAleer, Michael & Chan, Felix & Marinova, Dora, 2007. "An econometric analysis of asymmetric volatility: Theory and application to patents," Journal of Econometrics, Elsevier, vol. 139(2), pages 259-284, August.
- Ling, Shiqing & McAleer, Michael, 2002.
"Stationarity and the existence of moments of a family of GARCH processes,"
Journal of Econometrics,
Elsevier, vol. 106(1), pages 109-117, January.
- Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
- Ling, Shiqing & McAleer, Michael, 2002.
"NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS,"
Cambridge University Press, vol. 18(03), pages 722-729, June.
- Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper 0534, Institute of Social and Economic Research, Osaka University.
- Chang, Chia-Lin & Sriboonchitta, Songsak & Wiboonpongse, Aree, 2009. "Modelling and forecasting tourism from East Asia to Thailand under temporal and spatial aggregation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1730-1744.
- Ling, Shiqing & McAleer, Michael, 2003.
"Asymptotic Theory For A Vector Arma-Garch Model,"
Cambridge University Press, vol. 19(02), pages 280-310, April.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Enders, Walter & Granger, Clive W J, 1998.
"Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 16(3), pages 304-311, July.
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers Archive 1388, Iowa State University, Department of Economics.
- Jose Angelo Divino & Michael McAleer, 2009. "Modelling and Forecasting Daily International Mass Tourism to Peru," CIRJE F-Series CIRJE-F-651, CIRJE, Faculty of Economics, University of Tokyo.
- Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
- Lim, Christine & McAleer, Michael, 1999. "A seasonal analysis of Malaysian tourist arrivals to Australia," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 573-583.
When requesting a correction, please mention this item's handle: RePEc:nrb:journl:v:24:y:2012:i:1:p:28-47. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Bishnu Prasad Gautam)
If references are entirely missing, you can add them using this form.