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Tourism demand and garch models for Croatia

In this paper, we study the behaviour of tourism demand for Croatia over the period of January 1990–August 2009 from a different perspective, in that we examine: whether there is a common structural break in the growth level of the time series of tourism demand. This paper empirically investigates some basic cyclic features, such as volatility in the growth level of tourism arrivals and overnight stays in Croatia. The data set comprises monthly figures for Croatia: overnight stays as well as tourist arrivals, from January 1990 - August 2009. They associated volatilities for monthly tourism data are estimated for the total tourism demand: using univariate SARIMA and volatility models for the data series. The univariate estimates suggest that the GARCH (1, 1) model provides an accurate measure of conditional volatility in monthly tourist arrivals and overnight stays in the observed time span.

tourism demand; structural breaks; volatility; seasonality; SARIMA; GARCH;

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