방한 말레이시아 관광수요 변동성 분석

An Estimation of the Volatility in the Demand for Malaysian Tourists Visiting Korea

Purpose: With the rapid growth of Muslim tourists visiting Korea in recent years, Southeast Asia countries’ Muslims are emerging as new Korea inbound markets. In particular, Malaysia has the largest number of tourists to Korea among 57 countries belonging to the Organization of the Islamic Conference, making it a bridgehead for the Muslim tourism market. The purpose of this study is to derive an optimal volatility estimation model for more accurate predictions of the demand for Malaysian tourists visiting Korea Research design, data, and methodology: This study conducted empirical analysis on the volatility of the demand for Malaysian tourists visiting Korea using GARCH, EGARCH and TGARCH models using the monthly series data from June 2006 to November 2019. Results: The research results are as follows. First, it was found that symmetrical GARCH model, asymmetrical TGARCH model were identified to be appropriate in estimating the volatility of the demand for Malaysian tourists visiting Korea. Second, it was found that TGARCH(1,1)model is better than GARCH(1,1) models in estimating of the volatility in the demand for Malaysian tourists visiting Korea. Third, according to the estimation results of volatility in the demand for Malaysian tourists visiting Korea, the impact to volatility persists for a while following the news shock. and bad news seemed to show a greater impact to volatility than good news. Implications: The implication of this study lies in that it has derived an optimal model of volatility for the demand of Malaysian tourists visiting Korea, which has been drawing attention due to the growing importance of Muslim tourists in the Korean tourism market. and the research results also provide basic materials to improve the real condition of accepting Muslim tourists visiting Korea by making it possible to predict more accurately the demand for Malaysian tourists visiting Korea.