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Analysis of Volatility and Dependence between the Tourist Arrivals from China to Thailand and Singapore: A Copula-Based GARCH Approach

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Uncertainty Analysis in Econometrics with Applications

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 200))

Abstract

This paper aims to estimate the dependency between the growth rates of tourist arrivals of Thailand and Singapore from China, and also analyze their conditional volatilities. Firstly, we assume that both margins are skewed-t distribution, and then make use of ARMA-GARCH model to fit monthly time series data. Secondly, fifteen types of static copulas are used to fit static dependence between tourist arrivals to Thailand and Singapore from China. We take the AIC, BIC and the two tests based on Kendall’s transform as criterions for goodness of fit test. Moreover, we apply time-varying copulas that described the dynamic Kendall’s tau process. Results show that each growth rate of tourist arrivals has a long-run persistence of volatility, and the time-varying Gaussian copula has the highest explanatory power of all the dependence structures between tourist arrivals to Thailand and Singapore from China in terms of AIC and BIC values.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Jianxu Liu & Songsak Sriboonchitta

Authors
  1. Jianxu Liu
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  2. Songsak Sriboonchitta
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Corresponding author

Correspondence to Jianxu Liu .

Editor information

Editors and Affiliations

  1. Science and Technology, School of Knowledge Science, Japan Advanced Institute of, Asahidai, Nomi 1-1, Ishikawa, 923-1292, Japan

    Van-Nam Huynh

  2. , Department of Computer Science, University of Texas at El Paso, W. University 500, El Paso, 79968, Texas, USA

    Vladik Kreinovich

  3. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Songsak Sriboonchitta

  4. , Faculty of Economics, Chiang Mai University, Chinag Mai, 50200, Thailand

    Komsan Suriya

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Liu, J., Sriboonchitta, S. (2013). Analysis of Volatility and Dependence between the Tourist Arrivals from China to Thailand and Singapore: A Copula-Based GARCH Approach. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds) Uncertainty Analysis in Econometrics with Applications. Advances in Intelligent Systems and Computing, vol 200. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35443-4_20

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  • DOI: https://doi.org/10.1007/978-3-642-35443-4_20

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-35442-7

  • Online ISBN: 978-3-642-35443-4

  • eBook Packages: EngineeringEngineering (R0)

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