Modelling and Forecasting Tourist Arrivals to Cambodia: An Application of ARIMA-GARCH ApproachTheara Chhorn and Chukiat Chaiboonsri
The paper aims at estimating and forecasting international tourist arrivals to Cambodia during the time interval of 2000m1 to 2017m7, covering 209 of monthly observations. To find out factors affecting tourist arrivals, simple OLS and 2SLS with instrument variable regression are applied, on the one hand. On the other hand, several time series models of ARIMA (p, d, q), GARCH (s, r) and the hybrid of ARIMA(p, d, q)-GARCH(s, r) are employed to forecast tourist arrivals in line with AIC and BIC in selecting the best modified models. The empirical results primarily reveal that tourist arrivals are affected by exogenous factor, say exchange rate, dummy factors such as the AEC, global finical crisis, national election and Cambodia’s e-Visa. With regard to forecasting stage, the result indicates that tourist arrivals are shocked by time trend in the past period, say time (t-1). The trend is furthermore reduced due to the time lags, say time (t-2, t-3) as shown in the parameter coefficients of AR. GARCH (1, 1) model suggests that the short run persistence of shocks lies in the gap of 0.04 whereas the long run persistence lies in the gap of 0.94. Additionally, AIC and BIC propose that ARIMA(3, 1, 4) and the hybrid of ARIMA(3, 1, 4)-GARCH (1, 1) are the best model to predict the future value of tourist arrivals. The RMSE and U index obtained from measurement predictive accuracy reveal that long run 1-step ahead forecasting of 2013m12 to 2017m7 is produced the smallest predictive error amongst the others. Thus, it has more predictive power to apply long term ex-ante forecasting.
Point Forecasting Interval, out of Sample Forecasting, ARIMA (p, d, q)- GARCH (s, r) Model, Exchange rate and Dummy Factors, Tourist Arrivals, Cambodia
Andrew Saayman, Ilse Botha. 2015. "Non-linear models for tourism demand forecasting." Tourism Economics23 (3): 594 - 613.
Baum, Christopher F. 2015. "ARCH and MGARCH models." EC 823: Applied Econometrics,Boston College, Spring 2014.
Bloomfield, Peter. 2009. "Modeling The Variance of a Time Series." July 31, 2009 / Ben Kedem Symposium, Department of Statistics, North Carolina State University.
Bollershev, T. 1986. "Generalized Autoregressive Conditional Heteroskedasticity ." Journal of Econometrics 31: 307–327.
Box and Pierce, D.,A., G. E.,. 1977. "Distribution of Residual Autocorrelation in Autoregressive Integrated Moving Average Time Series Models." Journal of the American Statistical Association 64.
Box, G. E. P., and G. M. Jenkins. 1970. "Time Series Analysis, Forecasting and Control." Holden - Day. San Francisco, CA.
Chang, Chia-Lin and Michael McAleer. 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan." Korean Economic Review 25: 241-267.
Chen, Kuan-Yu. 2011. "Combining linear and nonlinear model in forecasting tourism demand." Expert Systems with Applications 38 (8): 10368-10376.
Chen, Mei-Yuan. 2013. "Time Series Analysis: Conditional Volatility Models." Department of Finance, National Chung Hsing University.
Chia-Lin Chang, Michael McAleer and Dan Slottje. 2009. "Modelling International Tourist Arrivals and Volatility: An Application to Taiwan." Department of Applied Economics, National Chung Hsing University, Taiwan.
Chia-Lin Chang, Thanchanok Khamkaew, Roengchai Tansuchat and Michael McAlee. 2011. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations." Tourism Economics 17 (3): 481 - 507.
Chikobvu, Makoni Tendai and Delson. 2017. "Modelling international tourist arrivals and volatility to the Victoria Falls Rainforest, Zimbabwe: Application of the GARCH family of models." African Journal of Hospitality, Tourism and Leisure 6 (4).
Chu, Fong-Lin. 2009. "Forecasting tourism demand with ARMA-based methods." Tourism Management 30 (5): 740-751.
Crouch Geoffrey I. 1993. "Currency Exchange Rates and the Demand for International Tourism." The Journal of Tourism Studies 4: 45- 53.
Dickey, D. and W. Fuller. 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica (Econometrica) 49: 1057-1072.
Elzbieta F. and Mirosław Ga, sowski. 2004. "Modelling Stock Returns with AR - GARCH Process." SORT 28 (1 ): 55 - 68.
Engle, R. F.,. 1982. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation." (Econometrcia ) 50 (4 ): 987 - 1008.
Gang, Jianhua. n.d. "Advanced STATA with Time Series Data 1." Beihang University.
George Agiomirgianakis, Dimitris Serenis and Nicholas Tsounis. 2014. "Exchange Rate Volatility and Tourist Flows into Turkey." Journal of Economic Integration 29 (4): 700 - 725.
Ghana | Bennet Otoo. 2016. "Impact upcoming elections on Tourism and Hospitality industry." www.myjoyonline.com, November 30.
Jánský, I., Rippel, M. 2011. "Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility." IES Working Paper 27/2011 (Charles University Marek).
Jewoo Kim, Choong-Ki Lee & James W. Melted. 2016. "Impact of economic policy on international tourism demand: the case of Abenomics." Current Issues in Tourism 0 (0). https://doi.org/10.1080/13683500.2016.1198307.
José F. P-R. et al., José Francisco Perles-Ribes, Ana Belén Ramón-Rodríguez, Martín SevillaJiménez and Antonio Rubia. 2016. "The effects of economic crises on tourism success: an integrated model." Tourism Economics 22 (2): 417–447. doi:10.5367/te.2014.0428.
Kudret Gul, Nuran Aksit Asik, Ali Kemal Gurbuz. 2014. "The effect of global economic crisis on Turkish tourism demand and a review for the period 2003-2013." Journal of World Economic Research 22-32. doi:10.11648/j.jwer.s.2014030601.14 .
Kunst, Robert M. 2012. "Econometric Forecasting." Institute for Advanced Studies Vienna and University of Vienna . http://homepage.univie.ac.at/robert.kunst/progpres.pdf.
Louis, Faruk Balli & Rosmy Jean. 2015. "Modelling the tourism receipt’s volatility." Applied Economics Letters 22 (2).
Lukas Falat, Zuzana Stanikova, Maria Durisova, Beata Holkova, Tatiana Potkanova. 2015. "Application of Neural Network Models in Modelling Economic Time Series with Nonconstant Volatility." Business Economics and Management 2015 Conference, BEM2015. Procedia Economics and Finance 34 ( 2015 ). 600 – 607.
Mamula, Maja. 2015. "Modelling and Forecasting International Tourism Demand – Evaluation of Forecasting Performance." International Journal of Business Administration 6 (3): 102 - 112.
McAleer, Riaz Shareef and Michael. 2005. "Modelling international tourism demand and volatility in small island tourism economies." International Journal of Tourism Research 7 (6): 313–333.
MoT. 2012. Tourism Development Strategic Plan 2012 - 2020. Minitry of Tourism. http://www.tourismcambodia.org/images/mot/legal_documents/tourism_develop ment_stategic_plan_2012_2020_english.pdf.
NCSS Ch. 470. n.d. The Box-Jenkins Method. Chapter 470, NCSS Statistical Software, 470-1470-14.
Pathnadabutr, Aliwassa. 2013. "AEC, tourism drive investment trends." Nationa Multi Media, February 15. http://www.nationmultimedia.com/business/AEC-tourism-driveinvestment-trends-30200022.html.
Paul Leung, Terry Lam & Simon Wong. 2017. "Tourism Development in Cambodia: An Analysis of Opportunities and Barriers." Department of Hotel and Tourism Management, Hong Kong Polytechnic University, Kowloon, Hong Kong.
Phillips, P.C.B. and P. Perron. 1988. "Testing for Unit Roots in Time Series Regression." Biometrika (Biometrika) 75: 335-346.
Ramos, Célia M.Q. and Paulo M. M. Rodrigues. 2014. "Tourism Demand Modelling and Forecasting: An Overview." Revista de Turismo Contemporâneo 2 (2): 323-340.
Reider, Rob. 2009 . "Volatility Forecasting I: GARCH Models ."
Robert R. Andrawis, Amir F. Atiya and HishamEl-Shishiny. 2011. "Combination of long term and short term forecasts, with application to tourism demand forecasting." International Journal of Forecasting 27 (3): 870-886.
Serenis, Dimitrios and Nicholas Tsounis. 2014. "The Effects of Exchange Rate Volatility on Sectoral Exports. Evidence from Sweden, the U.K. and Germany." International Journal of Computational Economics and Econometrics.
Shan, Nada Kulendran & Jordan. 2002. "Forecasting China's Monthly Inbound Travel Demand." Journal of Travel & Tourism Marketing 13 (1).
Shira, Dezan. 2016. "Foreign Exchange Volatility in ASEAN: Assessing Exposure & Managing Risk." ASEAN Briefing, March 15. https://www.aseanbriefing.com/news/2016/03/15/5230.html.
Sjo, Bo. 2011. "Estimation and Testing for ARCH and GARCH." Modelling the volatility of the Electrolux stock.
Song et al., Haiyan Song, Gang Li and STEPHEN F. WITT AND BAOGANG FEI. 2010. "Tourism demand modelling and forecasting: how should demand be measured?" Tourism Economics 16 (1): 63–81.
Suhejla Hoti, Carmelo Leon and Michael McAleer. n.d. "International Tourism Demand and Volatility Models for the Canary Islands." School of Economics and Commerce, University of Western Australia.
Suliman, Ahmed Elsheikh M. Ahmed and Suliman Zakaria. 2011. "Modeling Stock Market Volatility using GARCH Models Evidence from Sudan." International Journal of Business and Social Science (International Journal of Business and Social Science) 2(23 ): 114 - 128.
Tourism, Ministry of. 2017. Tourism Statistics. Statistics and Tourism Information Department , Phnom Penh, Cambodia: Ministry of Tourism. http://www.mot.gov.kh.
UNWTO. 2013. Economic Crisis, International Tourism Decline and its Impact on the Poor. Madrid: World Tourism Organization and International Labour Organization (UNWTO).
Wang, T. 2016. "Forecast of Economic Growth by Time Series and Scenario Planning Method." Modern Economy 7 : 212 - 222.
Webber, Anthony G. 2001. "Exchange Rate Volatility and Cointegration in Tousim Demand." Journal of travel Research 39: 398-405. doi:10.1177/004728750103900406.
Witt, Johann du Preez and Stephen F. 2003. "Univariate versus multivariate time series forecasting: an application to international tourism demand." International Journal of Forecasting 19 (3): 435-451.
Yap, Ghialy Choy Lee. 2012. "An Examination of the Effects of Exchange Rates on Australia's Inbound Tourism Growth: A Multivariate Conditional Volatility Approach." International Journal of Business Studies 111-132.
Yu-ShanWang. 2009. "The impact of crisis events and macroeconomic activity on Taiwan's international inbound tourism demand." Tourism Management 30 (1): 75-82. https://doi.org/10.1016/j.tourman.2008.04.010.