Forecasting International Tourism Demand in Thailand

Warattaya Chinnakum, Pimonpun Boonyasana

Abstract

The aim of this study is to model and forecast the tourist arrivals fromEast Asia, namely China, Korea, and Japan, to Thailand for the period from 1991to 2016. In order to achieve this, two forecast models are applied: the AR(m)-GARCH(p,q), and the Kink AR-GARCH model (Kink AR(m)-GARCH(p,q)) thatcombine the classical GARCH model of Bollerslev (1986) with the Kink modelof Chan and Tsay (1998). The accuracy of the forecast models is evaluated interms of the RMSE, the MAE and the MSPE. The empirical results show that theKink AR(1)-GARCH(1,1) produces forecast which perform(statistically) significantly better than AR(1)-GARCH(1,1) in forecasting tourist arrivals from Chinaand Korea to Thailand. However, AR(1)-GARCH(1,1) is preferred for forecastinginternational tourism demand for Thailand from Japan.