다변량 자기회귀 조건부 異分散 모형을 이용한 방한 외래관광수요의 변동성 결정요인 분석

The Determinants of Volatility on In-bound Tourism Demand in Korea Using Multivariate Autoregressive Conditional Heteroskedasticity Model

This paper analyzes tourism demand volatility and its determinants for South Korea’s in-bound tourism using Engle(2002)’s dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity(GARCH) model. In contrast to recent previous studies which deal with classic GARCH specifications, author examines effects of explanatory variables to tourism volatility by including those variables in the conditional variance equations exogenously. Costs of living in competing destinations were found giving significant negative effects to the U.S. tourism demand volatility. On the other hand, income level was uncovered having significant impacts on Japanese tourism demand volatility. Both the U.S. and Japanese tourism demand are found to have leverage effects