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International Tourist Arrivals Volatility Comovements and Spillovers The Case of Thailand

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  • Tanattrin BUNNAG

    (Faculty of Science and Social Sciences Burapha University)

Abstract

This paper examined the international tourist arrivals volatility comovements and spillovers for Malaysian GML Japanese GJP British GUK and American GUS tourists The data used in this study was the monthly data from 1985 to 2015 The three Multivariate GARCH models namely the VAR 5 diagonal VECH and the VAR 5 diagonal BEKK were employed The empirical results overall showed that the estimates of the VAR 5 diagonal VECH parameters are statistically significant in the case of GML with GUS and GJP with GUS except in the case of GML with GJP GML with GUK GJP with GUK and GUK with GUS This indicates that the short run persistence of shocks on the dynamic conditional correlations is greatest for GML with GJP while the largest long run persistence of shocks to the conditional correlations for GML with GUS In addition the estimates of the VAR 5 diagonal BEKK parameters are statistically in the case of GML with GUK GML with GUS and GUK with GUS except in the case of GML with GJP GJP with GUK and GJP with GUS This indicates that the short run persistence of shocks on the dynamic conditional correlations is greatest for GJP with GUK while the largest long run persistence of shocks to the conditional correlations for GML with GUK Finally we found that the best model in volatility analysis is the VAR 5 diagonal BEKK model Therefore we can say Japanese tourists with British tourists are the most susceptible for the short run But for the long run Malaysian tourists with British tourists are the most susceptible

Suggested Citation

  • Tanattrin BUNNAG, 2015. "International Tourist Arrivals Volatility Comovements and Spillovers The Case of Thailand," Journal of Advanced Research in Management, ASERS Publishing, vol. 6(1), pages 5-21.
    • Handle: RePEc:srs:jemt00:v:6:y:2015:i:1:p:5-21
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