Statistical modelling of Zimbabwe’s international tourist arrivals using both symmetric and asymmetric volatility models
نویسندگان
چکیده
منابع مشابه
Modelling Volatility: Symmetric or Asymmetric Garch Models?
In this paper, we estimate GARCH, EGARCH, and GJR-GARCH models assuming normal and heavy-tailed distribution (i.e., GED). Results suggest that when the heavy-tailed distribution is considered, the persistence has found to be reduced in all the cases. Findings also reveal that positive shocks are more common than the negative shocks in this market.
متن کاملModelling Multivariate Shocks in International Tourist Arrivals to the Maldives
In the Maldives, although there were fewer fatalities compared with other countries in the Indian Ocean that were affected by the tsunami, there was widespread damage to housing and infrastructure. As a result, 14 islands out of the 200 inhabited islands were made completely uninhabitable. Approximately 5% of the population was displaced, a quarter of the tourist resorts were closed, and 8% of ...
متن کاملModeling Stock Return Volatility Using Symmetric and Asymmetric Nonlinear State Space Models: Case of Tehran Stock Market
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...
متن کاملModelling the Growth and Volatility in Daily International Mass Tourism to Peru
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO’s World Heritage List. For the potential negative impacts of mass tourism on the environment, and hence on future international tourism demand, to be managed appropriately require modelling growth ...
متن کاملForecasting U.S. Tourist Arrivals using Singular Spectrum
5 This paper introduces Singular Spectrum Analysis (SSA) for tourism demand forecasting 6 via an application into total monthly U.S. Tourist arrivals from 1996-2012. The global 7 tourism industry is today, a key driver of foreign exchange inflows to an economy. Here, we 8 compare the forecasting results from SSA with those from ARIMA, Exponential Smoothing 9 (ETS) and Neural Networks (NN). We f...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic and Financial Sciences
سال: 2019
ISSN: 2312-2803,1995-7076
DOI: 10.4102/jef.v12i1.426