TIME SERIES ANALYSIS APPROACH TO STUDY THE TOURIST ARRIVAL IN SRI LANKA

Abstract

Tourism has traditionally been the third foreign exchange earner in Sri Lanka. The collected international tourist’s arrivals data from January 1970 to December 2019 are used for this study and it was obtained from the Sri Lanka Tourism Development Authority. The main aim of this study is to analyze and fit a model using the conditional variance of the logarithm of monthly, quarterly and annually international tourist arrivals data. This paper mainly focused on the time series models: Generalized Autoregressive Conditional Heteroscedastic (GARCH), Glosten, Jagannathan and Runkle (GJR) and Exponential GARCH (EGARCH) along with their estimation procedures for modelling international tourist arrivals and volatility. GARCH (1,1) and GJR-GARCH (1,1) are statistically significant for monthly arrivals of tourist whereas EGARCH (1,1) is statistically significant for annually arrivals of tourist.