Forecasting and modelling for the inbound tourism demand volatility
by Yuruixian Zhang; Wei Chong Choo; Yuhanis Abdul Aziz; Choy Leong Yee; Jen Sim Ho
International Journal of Services, Economics and Management (IJSEM), Vol. 13, No. 3, 2022

Abstract: Many past studies conducted have explored and focused primarily on forecasting and predicting tourism demand. However, this research aims to concentrate on the aspect of how tourism demand volatility can be forecasted and accounted for, rather than solely on how we can forecast and anticipate tourism demand itself. Seven source countries for monthly tourist arrivals in Malaysia will be considered and focused as a case study in this paper. Furthermore, the model theory of generalised autoregressive conditional heteroscedastic (GARCH) family volatility are explored in its relevance and introduced in this study. Additionally, the performance and evaluation of a new adaptive forecasting method, smooth transition exponential smoothing (STES), will be compared to GARCH-type models and several ad hoc methods for Malaysia's tourism demand volatility forecasting and modelling. Notably, our research conducted reported findings that monthly seasonality impacts existed in the mean equation, and the GARCH family models revealed that news shock continuously impact on Malaysia's tourism demand volatility. The EGARCH and GJR models utilised in this study also exhibited the asymmetric and leverage effects. Interestingly, it was also observed that the STES model surpassed GARCH family models and several ad hoc methods in forecasting and modelling.

Online publication date: Mon, 17-Oct-2022

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Services, Economics and Management (IJSEM):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com