Determinants of volatility on international tourism demand for South Korea: an empirical note

Abstract

This article examines volatility and its determinants of international tourism demand for Korea. Based on the exponential generalized autoregressive heteroskedasticity model, some evidences are found such that the leverage effects are presented in the tourism demand, and the determinants of volatility are country specific. The finding illustrates that the specific characteristics of a particular origin country should be taken into account to develop policies or plans for tourism industries.

Acknowledgements

The authors would like to express their appreciation to the Editor and an anonymous referee for helpful comments related to this work. All remaining errors are our own.

Notes

¹  The specification (3) is slightly different from the Nelson (1991)’s version. However, when we assume conditional normal distribution and p = 1, the only difference is the constant term ω by .

² Japanese and US tourists represent 60.97 and 50.71% of the total number of international tourist's arrival in November 1980 and January 2005, respectively.

³ For level series of Japanese and US tourist's arrivals ADF test statistics are − 1.785 and − 1.811, respectively. For first difference series ADF test statistics are − 6.103 and − 7.889 for Japan and US data, respectively. The 5 and 1% critical values for ADF test statistics (no constant and no trend) are − 1.942 and − 2.573, respectively. Phillips–Perron test for given data sets yield same results.