MGARCH modeling of inbound tourism demand volatility in Turkey
Part of : MIBES Transactions : international journal ; Vol.5, No.1, 2011, pages 24-40
Issue:
Pages:
24-40
Author:
Abstract:
Tourism has been one of the leading industries in the world economy for the last 50 years and has an outstanding importance for Turkey. Tourism industry mainly depends on demand, and analyzing the changes in tourism demand is essential for management purposes. Inbound tourism demand for Turkey has faced many challenges in the last three decades, such as terrorist attacks, epidemics, economic and financial crises, political turmoil and global downturns. Understanding the volatility of demand can help to develop appropriate solutions for recovery. In order to resolve volatility, this paper models the time series behavior of the four leading European tourism source countries, namely Germany, France, United Kingdom and Netherlands with multivariate GARCH models using monthly data for 1985:01-2009:09 period. The empirical results showed cross-country interdependent and dependent effects in the conditional correlations for all of the selected countries. The results of this paper indicate that -as the major source countries are dependent on each other- the demand volatility is caused by the economic conditions, preferences or other factors that originate from the source countries, rather than the internal dynamics of Turkey.
Subject (LC):
Keywords:
tourism demand, volatility, multivariate GARCH models
Notes:
Περιέχει πίνακες, διαγράμματα και βιβλιογραφία
