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An Analysis of Korean Out-Bound Tourism Demand Using the Autoregressive Conditional Heteroskedasticity Regression Model

Using Engle(1982)’s autoregressive conditional heteroskedasticity(ARCH) regression model, this paper analyzed out-bound tourism demand of Korean tourists for seven countries(USA, Japan, China, Hongkong, Singapore, Philippine, and Thailand). Even though there have been numerous studies that analyzed in-and out-bound of Korean tourism demand, most studies did not consider the classical assumptions in the regression model. Among all the assumptions, this study focused on effects of the violation of homoskedasticity of the innovation. In this study, first, by simple Monte-Carlo simulation, the effect of conditional heteroskedasticity in the regression model was demonstrated. Then, using ARCH regression model, Korean outbound tourism demand for seven countries were estimated. Results showed that most countries’ price and income elasticities were less than one. Results also indicated that the price and income elasticities were quite country specific.