1

Time Series Forecasting : International Tourist

Arrivals to Thailand
(Working paper No. 6/2006)

N. Rangaswamy Ph.D.
Professor & Chairman , Department of Economics, Bangalore University, Bangalore

Chukiat Chaiboonsri
Received a scholarship from the Indian Government study Ph.D. (Economics)
at Bangalore University from 2005-2010.
chukiat1973@yahoo.com

Economics Department
Bangalore University
A

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Preface

I would like to thanks Dr. N. Rangaswamy, Professor & Chairman of the Department of
Economics at Bangalore University. He is both my professor and adviser at Bangalore
University for the period from 2005 to 2010. And I would like to thanks ICCR scholarship
(India government organization) that gave funds to me for study a Ph.D.(Economics) at
Bangalore University during the same period. This working paper is a part of the study for
my Ph.D. Furthermore my grateful thanks to Assoc,Prof. Dr. Prasert Chaitip, my father, my
mother, my wife and my relative for their help and support in every way. This working paper
was edited by Macus Vigilante, lecturer at Payap University, Chiang Mai . So I would like
to thanks you and I hope that you can help me on my next paper. Finally my special thanks to
God because He blesses me in every day when I walk with Him.

Mr. Chukiat Chaiboonsri

Department of Economics
Bangalore University
Bangalore, India

16/12/2006

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B

Contents

Page

Preface A
Contents B
Tables C
Figure D
Abstract 1
1. Introduction 2
2. Research Aim and Objective 3
3. Study area in this research 3
4. The research Framework of tourism forecasting
and forecasting methodology
4.1 The method for forecasting a single variable 4
4.1.1 Holt-winter 4
4.1.2 ARIMA Modelling 5
4.1.3 Neural Network Method 9
4.2 The method of forecasting from more variables 11
4.2.1 VAR Model 11
4.2.2 GMM method for time series analysis 12
4.2.3 ARCH-GARCH Model 13
4.2.4 ARCH-M Model and GARCH-M Model 14
4.2.5 TARCH Model 15
4.2.6 EGARCH Model 15
4.2.7 PARCH Model 16
5. The results of the research
5.1 Forecasting accuracy is based on the Mean Absolutes Percent 17
Error(MAPE) of each method (the method of forecasting
from a single variable)
5.2 Forecasting accuracy is based on Mean Absolutes Percent 18
Error(MAPE) for each method(More variable)
5.3 The empirical results of forecasting international tourism demand 19
arrivals to Thailand for 2006-2010.
6. The conclusions of research and policy recommendations 20
Bibliography 21
Appendix A. 24
Appendix B. 25

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Tables

Page

1. Table 1 : Accuracy comparison in sample for different forecasting 18

models based on the single variable method.

2. Table 2 : Accuracy comparison in sample for different forecasting 18

models based on the multi variable methods for forecasting.

3. Table 3 : Forecasts of quaternary percentage change in 19

international tourist arrivals to Thailand based on the
SARIMA(0,1,1)(0,1,4) model during the period 2006-2010
4. Table 4 : Forecasts of quaternary percentage change in 19
international tourist arrivals to Thailand based on the
VAR model for the period 2006-2010.

5. Table 5 : Forecasts the number of international tourist 24

arrivals to Thailand for 2006(Q1)-2010(Q4)
based on the SARIMA forecasting method.

6. Table 6 : Forecasts the number of international tourist 25

arrivals to Thailand for 2006(Q1)-2010(Q4)
based on the VAR Method.

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D

Figure

Page

1. Figure 1 : Graphical presentation of forecasting international 24

tourist arrivals to Thailand for 2006-2010
based on the SARIMA forecasting method.

2. Figure 2 : Graphical presentation of forecasting international 25

tourist arrivals to Thailand for 2006-2010
based on the VAR forecasting method.

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Time series forecasting : international tourist arrivals to Thailand*

Chukiat Chaiboonsri,
Candidate in the Indian Government Ph.D. (Economics) program
at Bangalore University, 2005-2010.
chukiat1973@yahoo.com

Parsert Chaitip Ph.D.

Assoc, Prof. DR. in Faculty of Economics, Chiang Mai University, Chiang Mai .

N. Rangaswamy Ph.D.
Professor & Chairman , Department of Economics, Bangalore University, Bangalore

Abstract

Forecasting is an essential analytical tool in tourism policy and planning. This paper
focuses on forecasting methods based on two concepts to forecast international tourism
arrivals to Thailand for 2006-2010. The first forecasting method establishes a single
variable and the second forecasting method establishes more variables. The following
forecasting methods were employed in this paper: SARIMA, ARIMA, Holt-Winter-
Additive, Holt-Winter-Multiplicative, Holt-Winter-No seasonal, Neural network, VAR,
GMM estimation for time series analysis, ARCH-GARCH-M, ARCH-GARCH,
TARCH, PARCH and EGARCH. Secondary data were used to produce forecasts of
international tourist arrivals to Thailand for 2006-2010 based on the period 1997-2005.
The results confirm that the best forecasting method based on the first concept is
SARIMA(0,1,1)(0,1,4) and the best forecasting method based on second concept is the
VAR model. Furthermore both the SARIMA model and VAR model predict that
international tourism arrivals to Thailand for 2006-2010 will growth at a positive rate. If
these results can be generalized for future year, then it suggests that both the Thai
government sector and private tourism industry sector should prepare to receive
increasing numbers of international tourist arrivals to Thailand in this period.

Keywords: international tourism of Thailand; best forecasting methods; single

variable; multi variable

-------------------------
* This paper has been accepted for presentation in international conference namely The 2nd SSEASR Conference of SOUTH AND
SOUTHEAST ASIAN ASSOCIATION FOR THE STUDY OF CULTURE AND RELIGION May 24-27, 2007, Thailand

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1. Introduction

International tourist arrivals and international tourist receipts have traditionally been
used as benchmark aggregate series to assess the overall importance of tourism
worldwide and in specific countries. High international tourist arrival levels may be
used in advertising campaigns and also in political discussions to legitimize and
emphasize the success of a country in the international community. Similarly, sizeable
international tourist receipts can be a good indicator of the role of tourism in an
economy in term of both Gross Domestic Product and foreign exchange generation.
Policy makers may subsequently be convinced to assist tourism development and further
increase profitability from tourism activities. It is not surprising, therefore, that the
majority of World Tourism Organization (WTO) statistics focus on these two time
series reported as levels, annual changes and market shares (Papatheodorou and Song
2005). Furthermore The United Nations Conference on Trade and Development singled
out tourism as the only sector in international trade in services for which developing
countries had experienced positive surpluses in their trade account (UNCTAD, 1998).
Tourism receipts in developing countries, valued at US$ 6 billion in 1980, reached an
unprecedented US$ 62.2 billion in 1996. The prognosis is that this surge will continue, a
manifestation of the growing importance of tourism (Narayan, 2005). The above
information emphasizes that international tourism can generate money for the economy
of developing countries, such as Thailand. In 2003, Thailand 10,082,109 million
international tourists and in the same year Thailand received income from international
tourism of 309,269 million baht. And in 2004, the number of international tourists was
11,737,413 million and the income was 384,359 million baht. This data shows that when
the number of international tourists to Thailand increases, then the income from
international tourists to Thailand also increases. Therefore, if the econometrics approach
is able to forecast the number of international tourist arrivals to Thailand, it will also be
able to forecast the level of income from international tourists. Thus it is an essential
analytical tool in tourism policy and planning.

This paper focus on the econometrics approach for forecasting the number of
international tourist arrival to Thailand for the period 2006-2010 based on data from the
period 1997-2005.

The various forecasting models developed in reference to tourism can be broadly

classified into four categories (Kamra, 2006): (a) Structural Models; (b) Trend
Extrapolation Models; (c) Simulation Model; and Qualitative Modes. Structural Models
are based on establishing the relationship between some measure of tourism demand and
a series of causal variables, such as price, income, motivation, image, competition, or
distance. Trend Extrapolation Models, also known as Time-Series models, by their very
name, depend on the extrapolation of a historical series of data into the future. The two
variables are some measure of tourism demand/market activity and time. Simulation
Models, a complex set of equations, are a distinctive combination of both Structural
Models and Trend Extrapolation Models resulting in a more comprehensive systems
simulation. And lastly, Qualitative Models are primarily non-mathematical models. The
most widely acknowledged and most commonly used qualitative forecasting model is
the Delphi Model. Once again, this paper will forecast international tourist arrival to
Thailand for 2006-2010 based on two categories: (a) Structural Models, in this paper

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called multi variable forecasting methods, (b) Trend Extrapolation Models, in this paper
called single variable forecasting methods.

2. Research Aim and Objective

This research aims to seek the best forecasting method for forecasting international
tourist arrivals to Thailand for the period 2006-2010 and to predict the number of
international tourist arrivals to Thailand in this period.

3. Scope of this research

The scope of this research is the period 1997-2010 and mostly the data was secondary
data. The countries used for forecasting international tourist arrivals to Thailand were all
the countries of importance to the international tourism industry of Thailand (source:
Thailand’s Tourism Organization).

The variables used in this research were the number of international tourist arrivals to
Thailand from 1997-2005 to forecast for 2006-2010 and the income growth rate of the
country’s industry based on period 1997-2005 to forecast for 2006-2010.

4. The research framework of tourism forecasting and forecasting methodology

Tourism forecasting methods can be divided into qualitative and quantitative methods
and causal quantitative techniques. Regardless of the type of forecasting method used,
the usefulness of any tourism demand forecasting model is really determined by the
accuracy of the tourism forecasts that it can generate, as measured by comparison with
actual tourism flows (Mahmoud, 1984). Frechtling (1996, 2001) highlighted five
patterns in a tourism time series: (a) seasonality, (b) stationarity, (c) linear trend, (d)
non-linear trend and (e) stepped series. The time series non-causal approach or
forecasting a single variable approach is limited by the lack of explanatory variables and
it also was best used for short-term to medium-term forecasting. Additionally, in this
approach, it is assumed that the factors related to seasonality, trend and cycle are slow to
change and can be extrapolated in the short term (Kon and Turner, (2005)).

In this paper, two types of time series forecasting methods were used, namely single
variable methods and multi variables methods (Hall, Lilien, Sueyoshi, Engle, Johnston
and Ellsworth (2005)). Examples of single variable forecasting methods are: the Holt-
winter method, the ARIMA method, the SARIMA method and the Neural Network
method. Examples of the second method of forecasting, multi variable, are: the VAR
model, the GMM method, the ARCH-GARCH method, the ARCH-GARCH-M method,
the TARCH method, the EGARCH method and the PARCH method.

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4.1 The method for forecasting from a single variable

4.1.1 Holt-winter

Holt-Winter-No seasonal (Two parameter)

Holt’s method is the basic trend model, Ŷt+1 = estimated level t + trend t , combined with
exponential smoothing as well as where (a) is estimated level t and (b) is trend t. these
two coefficients are defined by the following recursion: (see equation 1E and equation
2E).

a(t) = α y t +(1- α )( α (t-1) + b ( t-1)) --------- ( 1E )

b(t) = β( a(t) – a(t-1)) + 1 – β b(1- t ) --------- ( 2E )

Where 0 < α, β < 1 and γ = 0 are damping factors as well as this is an exponential
smoothing method with two parameters and forecasts are computed by : (see equation
3E ).

Ŷ T +k = a(T) + b(T)k --------- ( 3E )

where

Ŷ T + k = time series variable has been to forecast at time T +k or the smoothed

series Ŷ t + k
a(T) = a(t)
b(T) = b(t)

Holt-Winter-Additive (Three parameter)

This method is appropriate for series with a linear time trend and additive seasonal
variation and the smoothed series Ŷ t + k is give by: (see equation 4E).

Ŷ t +k = a + b k +c t + k --------- 4E

where
a = estimated level t or intercept term
b = trend t
c = seasonal t + k
Ŷ t +k = time series variable that has been forecasted at time t+k or the smoothed
series Ŷ t +k
also where
a(t) = α (y t – c t( t – s )) + (1- α)( a (t-1) + b( t -1) )
b(t) = β( a(t) – a(t-1)) + 1 – β b( t - 1)
c(t) = γ( y t – a(t +1)) + γct( t - s)
Where 0 < α, β < 1 and γ < 1 are damping factors and s is the seasonal frequency
specified in the cycle for seasonal and forecasts are computed by : ( see equation 5E ).

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Ŷ T +k = a(T) + b(T) k +c T + k -s --------- 5E

where
a(T) = a(t)
b(T)k = b(t)
c T+ k - s = c t( t)

Holt-Winter-Multiplicative (Three parameter)

The Holt-winters Multiplicative method is the basic multiplicative seasonal trend

model. This method is appropriate for series with a linear time trend and multiplicative
seasonal variation. The smoothed series ŷ t is give by: (see equation 6E).

ŷ t +k = ( a + b k ) c t + k --------- 6E

where
a = permanent component ( intercept term ) or estimated level t
b = trend t
c t = multiplicative seasonal factor

The above three coefficients from equation 6E are defined by the following recursion:

a(t) = α [y t / c t( t – s )] + (1- α)( a (t-1) + b( t -1) )

b(t) = β( a(t) – a(t-1)) + (1 – β) b( t - 1)
c(t) = γ( y t / a(t)) + (1-γ)ct( t - s)

Where 0 < α, β < 1 and γ < 1 are damping factors and s is the seasonal frequency
specified in the cycle for seasonal and forecasts are computed by : ( see equation 7E ).

Ŷ t +k = ( a(T) + b(T) k ) c T + k - s --------- 7E

As well as where the seasonal factors are used from the last s estimates and where a(T)
= a(t), b(T) = b(t) and c t + k - s = c t (t).

4.1.2 ARIMA modelling

The ARIMA modelling autoregressive term integrated moving-average term and

autoregressive term can be written by : (see equation 8E ).

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y t +k = µ + γ y t – 1 + ε t --------- 8E

Equation 8E is said to be first order autoregressive ( or-self-regressive ) because under

certain assumptions E[ y t | y t – 1] = γ y t – 1. A more general p th-order autoregressive
term or AR(p) process would be written give by : (see equation 9E).

y t = µ + γ1 y t – 1 + γ2 y t – 2 +……+ γp y t – p + ε t --------- 9E

where
y t = time series data
µ = constant term
γ1 = coefficient of AR(p)

And first order moving-average term or MA(1) specification also can be written give by
equation 10E.

y t = µ + ε t - θ ε t-1 --------- 10E

or
y t = µ + (1- θ L)ε t --------- 10E

As well as more general q th-order moving-average term or MA(q) process would be

written give by : (see equation 11E).

y t = µ + ε t - θ1 ε t-1 - θ2 ε t-2 -…….- θq ε t-q --------- 11E

An autoregressive and moving-average (ARMA(1,1)) process can be written give by

equation 12E.

y t = µ + γ1 y t – 1 + ε t - θ1 ε t-1 --------- 12E

The equation 12E as first order autoregressive term (AR(1)) and first order moving-
average term (MA(1)) as well as ARMA(p,q) process can be written give by: (see
equation 13E).

y t = µ + γ1 y t – 1 + γ2 y t – 2 +……+ γp y t – p
+ ε t - θ1 ε t-1 - θ2 ε t-2 -…….- θq ε t-q -------- 13E

where

y t = time series data at t time

µ = constant term
γ1 = coefficient of AR(1)
ε t = error term at t time
θ 1 = coefficient of MA (1)

An autoregressive integrated moving-average (ARIMA) process is ARIMA(p,d,q)

modelling and can be written give by: (see equation 14E and 15E).

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Ø(β )∆dy t = δ + θ(β) ε t --------- 14E

with

Ø(β ) = 1- Ø1 β - Ø 2 β2 -……- Ø p βp

and

Ø(β ) = 1- θ 1(β) - θ 2(β)2 - …….- θ q(β)q

where

Ø(β ) = The autoregressive operator at order p

∆ dy t = differencing operator at order d of time series data y t
δ = constant term
θ(β) = moving-average operator at order q
εt = error term of equation 14E

Furthermore, full ARIMA(p,d,q) model for time series forecasting also can be written
give by equation 15E.

y t = µ + γ1∆dy t -1 + γ2 ∆d y t-2 +……+ γ p ∆d y t – p

+ ε t - θ1 ε t-1 - θ2 ε t-2 -…….- θ q ε t-q -------- 15E

The BOX-JENKINS(BJ) method which has become the standard for estimating
ARIMA(p,d,q) model was developed by G.E.P Box and G.M Jenkins (Time series
analysis, Forecasting, and control, San Francisco, Holden Day, 1970). The procedure
involves making successive approximation though four stages: Identification,
Estimation, Diagnostic Checking and Forecasting (see figure 1 for more detail).

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Identification of the model

( choosing tentative p,q,d)

Estimation
(parameter estimation of
the chosen model)

Diagnostic checking
(Are the estimated
residuals white noise?)

Yes No

Forecasting

From :Gujarati(2003)

Figure 1 : Stage of Box-Jenkins (BJ) method for estimates ARIMA(p,d,q) modelling process.

Seasonal ARIMA or SARIMA is an extension of ARIMA where seasonality is

accommodated by seasonal differencing. SARIMA(p.d.q)(P,D,Q) is applied to data with
an annual seasonal pattern P,D and Q in the seasonal part of the model represent the
order autoregression, differencing and moving-average respectively and as quarterly
data are used, for period s = 4 is defined as:

∆s y t = y t- y t-s

or

∆4 y t = y t- y t-4

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4.1.3 Neural network method

Neural network models or ANN models consists of an input layer, and output layer, and
usually one or more hidden layer. Each of these layers contains nodes, and these nodes
are connected to nodes at adjacent layer(s). Figure 2 demonstrates a simplified neural
network with three layers.

Output layer
Y

w1 w2 w3

y2 y3 Hidden layer
y1

w13
w11 w12
w21 w22 w23

x1 x2 Input layer

From: Rob Law and Norman Au (1999)

Figure 2 : A neural network model with three layers

And figure 2 shows a system of the neural network model and the mathematically of
this model also can be written give by : (see equation 16E)

y j = Σ2i =1 x i w i j --------- 16E

where
y1 = x 1 w 11 + x 2 w 21
y2 = x1 w 12 + x 2 w 22
y3 = x1 w 13 + x 2 w 23

and also where

y j = the variable in hidden layer
x i = the variables in input layer
w i j = weighted of x i

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And a sigmoid function (YT ) in the following from is used to transform the output so
that it falls into an acceptable range. This transformation is done before the output
reaches the next level. The purpose of a sigmoid function is to prevent the output value
from begin too large, as the value of (YT ) must fall between 0 and 1: see equation
17E).

y T = 1/ ( 1+ e-y ) --------- 17E

Finally, Y, a node of the output layer in figure 2 is obtained by the following summation
function : (see equation 18E ).

Y = Σ3i =1 Y T i w i --------- 18E

where

Y = ( YT1 w1 ) + ( YT2 w2 ) + ( YT3 w3 )

w i = weighted of Y T i
Y = also the variable in output layer

Equation 1E to equation 18E can be written in linear equation function form: (see
equation 19E).

Y = ƒ( x 1 ,x2 ) --------- 19E

where

Y = dependent variables ( output layer)

x 1 x 2 = weighted of Y T i
ƒ = neural network function

A neural network model was used for forecasting tourism demand such as Uysal and
Roubi (1999) to compare the use of the ANN against multiple regression in tourism
demand analysis, Law and AU (1999) used a supervised feed-forward neural network
causal model to forecast annual Japanese tourist arrivals in Hong Kong, Tsaur et al
(2002) used ANNs to analyze guest loyalty to international tourist hotels and find that
ANNs demonstrate satisfactory model-fitting performance and Sen and W.Turher
(2005) used ANNs to forecast internal tourism demand arrivals to Singapore. The above
research shows that the neural network method has become popular for forecasting
tourism demand models.

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4.2 The method of forecasting from more variables

4.2.1 VAR model

The vector autoregressive models or VAR models were developed by C.A. Sim in 1980.
These models having the term autoregressive is due to the appearance of the lagged
value of the dependent variable on the right-hand side and the term vector is due to the
fact that of a vector of two (or more) variables. The basic model considered in following
is a vector autoregressive (VAR) model possibly including deterministic terms and with
independent Gaussian error: the k-dimensional time vector yt is generated by a vector
autoregressive process of order p, denoted VAR(p) model(see equation 1F).

yt = А1 yt-1 +……+ Аp yt-p + βdt + εt ------------- 1F

where

t = 1,….., T
А i β = coefficient matrices y0 = ( y0 , …., y1-p)
yt = time series data

And the innovation process εt is an unobservable zero-mean white noise process with a
time-invariant positive-definite variance-covariance matrix Σ, εt = yt - E [yt | yt-1] and
which is assumed to be Gaussian : εt ~ NID (0, Σ). Thus the expectation of yt
conditional on the information set yt-1= ( yt-1, yt-2,……., y1-p) as give by : (see equation
2F).

E [yt | yt-1] = βdt + Σp j=1 А j yt-j ------------- 2F

Where

t = 1,….., T
βdt = intercept term
yt ,yt-1 = time series data
Аj = coefficient of VAR model

The information criteria considered the best of VAR model to forecasting are defined as
follow :

AIC = -2 (L/T) + (K/T)

SC = -2(L/T) + k log(T)/T
HQ = -2(L/T) + 2k (log(T)/T
and

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Modified AIC(MAIC) = -2 (L/T) + 2((K+e)/T)
Modified SC(MSC) = -2 (L/T) + (K+e) log(T)/T
Modified HQ(MHQ) = -2 (L/T) + 2(K+e)log(T)/T

where
e = α2 εt y2 t-1
y t-1 = yt as defined in autoregressive spectral
L = - TM/2 (1+log2Π) –T/2log|Ω|
|Ω| = det ( Σi ε ε /T)
M = the number of equation
T = Number of observation

4.2.2 GMM method for time series analysis

The general method of moment (GMM) as the GMM estimator belongs to a class of
estimators know as M-estimators that are defined by minimizing some criterion
function. This estimator has been developed by Hansen and Singleton (1992) and the
benefits of this method are multiple, for example: the GMM can be made robust to
heteroscedasticity and or autocorrelation of unknown form, GMM is a robust estimator
in that it does not require information of exact distribution of the disturbance and GMM
is an estimator that ensures consistent parameter estimates under a wide variety of
conditions and that does not require the assumption of normality. The GMM**/ estimator
for time series data starts by considering the linear regression model (see equation 1G).

y = xβ + µ ------------- 1G

and
E [ µµ΄ ] = Iσ2
E [ xµ΄ ] = 0 { this is known as an orthogonal condition}
V [ x΄µ ] = (x΄x)σ2
where
E [ µµ΄ ] = expected error term of equation 1G
E [ xµ΄ ] = expected mean of equation 1G
V [ x΄µ ] = variance of equation 1G

The OLS estimator are obtain by minimizing µ΄µ or (y - xβ)΄( y - xβ ) as well as the
generalized method of moment (GMM) estimation method minimizes µ΄x w x΄µ or
(y - xβ)΄x w x΄( y - xβ ) and see equation 2G.

β^ = (x΄x)-1 x΄ y ------------- 2G
(x΄x) β^ = x΄ y ------------- 2G

----------------------
**/ It has been explained by G.S Maddala(2002). Introduction To Econometrics third edition Published by John
Wiley & Son Ltd India.

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And give x w x΄ in to equation 2G both right hand side and left hand side as well as can
be written give by : (see equation 3G)

( x w x΄)(x΄x) β = x΄ y (x w x΄ ) ------------- 3G
^

( x x΄w x΄x) β = x΄ x w x΄y

^
------------- 3G

where

(x΄x) = nonsingular matrix

w = weighting matrix and it is nonsingular matrix

Let z be the set of instruments variable and z is of the same dimension as x as well
as write the orthogonally condition as E(z΄µ ) = 0 and V(z΄µ ) = (z΄z) σ2. The GMM
minimizes µ΄z w z΄ µ or (y - xβ)΄zw z΄( y - xβ ) and take z w z΄ in to equation 4G
both right hand side and left hand side also can be written give by: (see equation 4G).

( z w z΄)(x΄x) β^ = x΄ y (z w z΄ ) -------------------------- 4G
( x΄z) w (z΄x) β^ = (x΄ z) w z΄ y ------------------------- 4G
β GMM = [( x z) w (z x) ] (x z w z΄ y) ---------- 4G
΄ ΄ -1 ΄
^

Hansen (Econometrica,1982) shows that the optimal choice of w is (z΄z)-1/σ2 =

[V(z΄µ )]-1 and it is (z΄ Ω z )-1 if E [ µµ΄ ] = Ω , so the GMM in this case as equation 5G.

β^GMM = [ x΄z (z΄Ω z)-1 z΄x]-1[x΄z (z΄ Ω z)-1 z΄y) ---- 5G

The covariance matrix of β^GMM is [ x΄z (z΄Ω z)-1 z΄x]-1 and the GMM method has been
used often in the estimation of nonlinear rational expectations model and cases where
Ω= E [ µµ΄ ] has a very general specification.

4.2.3 ARCH-GARCH model

Engle*** (1982) developed the autoregressive conditional heteroscedasticity (ARCH)

model. The key idea of ARCH model is that the variance of µ at time t (=σt 2) depends
on the size of the squared error term at time ( t –1),that is, on µ2 t -1 . To be more
specific, let revert to the k-variable regression model: (see equation 1H)

Yt = β1 X t + β2 X 2 t +…….+ βk X k t + µ t -------------- ( 1H )

-----------------------------
***/ R.Engle, “ Autoregressive Conditional Heteroscedasticity with Estimates of the variance of UK. Inflation, ”
Econometrica, vol. 50 987-1008,1982.

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and assume that conditional on the information available at time (t -1), the disturbance
term is distributed as ( see 2H )

µ t ~ N[0,( α 0 + α 1 µ2 t –1) ------------- ( 2H )

that is , µ t is normally distributed with mean zero and variance of ( α 0 + α 1 µ2 t –1).

Since in (2H) the variance of µ t depends on the squared disturbance term in the
previous time period, it is called an ARCH(1) process. But can generalize it easily.
Thus, an ARCH(p) process can be written as: (see equation 3H )

var( µ t ) = σt 2 = α 0 + α 1 µ2 t –1 + α 2 µ2 t –2 +……+ α p µ2 t –p --------- ( 3H )

if there is no autocorrelation in the error variance, and have H0 : α 1 = α 2 =……….=α p

= 0 , in which case var(µ t) = α 0 , and have the case of homoscedastic error variance.
The generalized autoregressive condition heteroscedasticity (GARCH) model, originally
proposed by Bollerslev+/ (1986) which can also be estimated by maximum likelihood.
The simplest GARCH model is the GARCH(1,1) model : (see equation number 4H)

σt 2 = α 0 + α 1 µ2 t –1 + λ1σ2 t –1 --------- ( 4H )

Now the variance of the error term has three components: a constant, last period’s
volatility (the ARCH term), and last period’s variance (the GARCH term). In general
could have any number of ARCH terms and any number of GARCH term and The
GARCH (p,q) model refer to the following equation for σt 2 :( see equation 5G )

σt 2 = α 0 + α 1 µ2 t –1 +………+ α p µ2 t –p + λ1σ2 t –1 +…..+λ qσ2 t – q --------- ( 5H )

4.2.4 ARCH-M model and GARCH-M model

The ARCH-M model was developed by Engle, Lilien and Robin(1987) and this model
can be written give by: (see equation 6H ).

yt = x΄t γ + σ2 t γ + εt ------------- 6H

A variant of the ARCH-M specification uses condition standard deviation in place of the
condition variance. And GARCH-M(1,1) also can be written give by: (see equation 7H
and 8H)

GARCH-M(1,1) model :
yt = x΄t γ + S2 t γ + εt ------------- 7H
σt 2 = w + α i ε 2
t + β j σ2 t ---------- 8H
----------------
+/ T. Bollerslev "Generalized Autoregressive Condition Heteroscedasticity" Journal of Econometric vol, 1986, pp 307-236.
where

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yt = dependent variable time sires data
x΄t = independent variable time sires data
γ = coefficient of x΄t
S2 t = standard deviation of GARCH-M model
γ = coefficient of GARCH-M model
εt = error term of equation 7H
σt 2 = variance equation of GARCH-M
βj = coefficient of σ2 t
αi = coefficient of ε 2t

4.2.5 TARCH model

The TARCH model or Threshold ARCH was introduced independently by Zakoian

(1990) and Glosten, Jaganathan, and Rankle (1993). The specification for conditional
variance as: (see equation 9H).

σt 2 = w + α i ε2t-1 + γ ε2 t-1 + β j σ2 t-1 ---------- 9H

where d1= 1 if εt < 0 , and 0 otherwise as well as for higher order specifications of the
TARCH model can be written give by: ( see equation 10H)

σt 2 = w + Σpi =1 α i ε2t-i + Σrk =1 γ ε2 t-kd t-k + Σq j =1 β j σ2 t-j ---------- 10H

where

σt 2 = variance of TGARCH model

w = constant term
Σpi =1 α i ε2t-i = ARCH term
r 2
Σ k =1 γ ε t-kd t-k = Threshold ARCH term
Σq j =1 β j σ2 t-j = GARCH term

4.2.6 EGARCH model

The EGARCH model or Exponential GARCH model was proposed by Nelson (1991)
and the specification for the condition variance give by: ( see equation 11H ).

log( σt 2 ) = w + β log(σ2 t-1 ) + α | ε2t-1 / σ2 t-1 | + γ (ε2 t-1/ σ2 t-1)------- 11H

Where log( σt 2 ) is the log of the condition variance and the present of leverage effect
can be tested by the hypothesis that = γ < 0 as well as the impact is asymmetric if γ ≠
0. For higher order specification of EGARCH model can be written give by: (see
equation 12 H ).

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log( σt 2 ) = w + Σqj =1 βj log(σ2 t-j ) + Σp i =1 [ α i | εt-i / σ t-i | + γi (ε t-i/ σ t-i) ] ------ 12H

Where w as constant term and log( σt 2 ) is exponential GARCH(p,q) model and higher
order specification of EGARCH (p,q) was estimated by the generalized error
distribution(GED) can be written give by: (see equation 13H).

log( σt 2 ) = w + Σqj =1 βj log(σ2 t-j ) + Σp i =1 α i [ (εt-i / σ t-i ) - E(ε t-i/ σ t-i) ]

+ Σrk =1 γk (ε t-k/ σ t-k) ------ 13H

Where w as constant term and log(σt 2 ) from equation 13H is exponential GARCH(p,q)
model was estimated by the generalized error distribution(GED) method.

4.2.7 PARCH model

Taylor (1986) and Schwert (1989) introduced the standard deviation GARCH model,
where the standard deviation is modeled rather than the variance. This model, along
with several other model, is generalized in Ding et al. (1993) with the Power ARCH
model (PARCH model) specification. And also the higher order of PARCH model
specification can be written give by: (see equation 14H).

log( σtδ ) = w + Σqj =1 βj (σδ t-j ) + Σp i =1 α i [ |εt-i | - γiε t-i)δ ------ 14H

Where δ > 0, | γi| ≤ 1 for i = 1,….., n , γi = 0 for all i > n, and n ≤ p and the symmetric
model set γi = 0 for all i as well as note that if δ = 2 and γi = 0 for all i, the PARCH
model is simply a stand GARCH model specification. The estimates are maximum
likelihood estimates which are asymptotically efficient for GARCH(p,d) model.
However if the distribution of residuals in not normal distribution, the estimates are still
consistent under quasi-maximum likelihood (QML) assumption. The exponential QME
is consistent even if the condition distribution of y is not exponential and the
exponential therefore QMLE can be written give by : (see equation 15H).

ℓ( β ) = Σni =1 – log( m)( xj ,β) - (yim (x i , β) ------ 15H

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where

ℓ( β ) = the exponential QMLE

( m)( xj ,β) = condition mean
yi = time series data
β = coefficient of equation

And the log likelihood for normal distribution of QMLE also can be written give by
equation 16H.

ℓ( β ) = ΣNi =1 {-1/2[( y i – m i)2 /(σ )] – (1/2)log (σ2 ) – (1/2)log(2Π) } --------- 16H

where

ℓ( β ) = the normal distribution of QMLE

yi = times series data
mi = condition mean
( β) = coefficient of equation

5. The results of the research

Two kinds of forecasting methods were employed in this paper for forecasting
international tourist arrival to Thailand for 2006-2010. The first group establishes a
single variable (the number of international tourist arrivals to Thailand) and includes the
following methods: SARIMA, ARIMA, Holt-Winter-Additive, Holt-Winter-
Multiplicative, Holt-Winter-No seasonal and Neural network. The second group of
forecasting methods establishes more than one variable (the number of international
tourist arrivals to Thailand and the growth rate of the country’s industry income). These
forecasting methods, include the VAR model, the GMM estimation for time series
analysis, the ARCH-GARCH-M model, the ARCH-GARCH model, the TARCH model,
the PARCH model and the EGARCH model.

5.1 Forecasting accuracy is based on the Mean Absolutes Percent Error (MAPE)
of each method (the method of forecasting from a single variable)

The variable was used in these method is the number of international tourist arrivals to
Thailand and the table 1 shows forecasting performance accuracy comparisons of the six
methods of forecasting international tourist arrivals to Thailand for 2006-2010. Most
methods are based on the single variable method of forecasting.

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Table 1: Accuracy comparison in sample for different forecasting models based on

the single variable method.

Number Method of forecasting MAPE(%)

1 SARIMA(0,1,1)(0,1,4) 16.73
2 ARIMA(2,1,3) 22.23
3 Holt-Winter-Additive (Three parameter) 22.59
4 Holt-Winter-Multiplicative (Three parameter) 24.30
5 Holt-Winter-No seasonal (Two parameter) 31.31
6 Neural network 32.18
Form: computed

Form table 1, the best method to forecasting international tourist arrivals to Thailand
during the specified period is SARIMA(0,1,1)(0,1,4). Because the MAPE(%) of this
method is lower than the other methods such as ARIMA(2,1,3), Holt-Winter-Additive
(three parameter), Holt-Winter-Multiplicative (three parameter), Holt-Winter-No
seasonal (two parameter) and Neural network.

5.2 Forecasting accuracy is based on Mean Absolutes Percent Error (MAPE) for
each method (more variable)

The variables were used in these method such as the number of international tourist
arrivals to Thailand and the growth rate income of industry countries in the world. And
the table 2 shows the empirical findings of the seven methods for forecast international
tourist arrivals to Thailand for 2006-2010. Most method are based on the multi variable
method for forecasting.

Table 2: An accuracy comparison in sample for different forecasting models based on

the multi variable methods for forecasting.

Number Method of forecasting MAPE(%)

1 VAR model 27.26
2 GMM estimation for time series analysis 27.79
3 ARCH-GARCH-M model 28.71
4 ARCH-GARCH model 29.08
5 TARCH model 30.33
6 PARCH model 34.96
7 EGARCH model 39.05
Form: computed

Form table 2, the best method for forecasting international tourist arrivals to Thailand
during the specified period is the VAR model. Because the MAPE(%) of this method is
lower than the other methods such as the GMM estimation for time series analysis, the
ARCH-GARCH-M model, the ARCH-GARCH model, the TARCH model, the PARCH
model and the EGARCH model.

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5.3 The empirical results of forecasting international tourism demand arrivals to
Thailand for 2006-2010

Table 3 presents the results of forecasting by the SARIMA(0,1,1)(0,1,4) model for

2006-2010. Mostly both first quaternary growth rates and second quaternary growth
rates in international tourist arrivals to Thailand are negative. And mostly both third
quaternary growth rates and fourth quaternary growth rates in international tourist
arrivals to Thailand are positive. Furthermore average per year growth rates are positive
as well as average per year growth rates equally between 1.40% and 1.50 % during this
period.

Table 3: Forecasts of quaternary percentage change in international tourist arrivals to

Thailand based on the SARIMA(0,1,1)(0,1,4) model during the period 2006-2010

Year Q1 Q2 Q3 Q4 Average
(%) (%) (%) (%) per Year
2006 -6.82 -3.86 10.88 5.69 1.47
2007 -2.03 -0.13 4.11 3.74 1.42
2008 -4.43 -1.92 7.39 4.77 1.45
2009 -3.35 -1.07 5.91 4.36 1.46
2010 -3.94 -1.50 6.75 4.64 1.50
From: computed

The table 4 presents the results of forecasting by the VAR model for 2006-2010. Mostly
second quaternary growth rates (except both the first quaternary growth rate in 2006 and
the second quaternary growth rate in 2007 are negative), the third quaternary growth rate
and fourth quaternary growth rate in international tourist arrivals to Thailand are
positive.

Table 4 : Forecasts of quaternary growth rate percentage change in international tourist

arrivals to Thailand based on the VAR model for the period 2006 - 2010.

Year Q1 Q2 Q3 Q4 Average
(%) (%) (%) (%) per Year
2006 1.07 -1.53 5.29 5.04 2.47
2007 -2.17 -0.39 4.59 5.36 1.85
2008 -2.74 0.98 3.76 5.69 1.92
2009 -3.38 2.62 2.76 6.10 2.02
2010 -4.14 4.58 1.62 6.55 2.15
From: computed

Mostly first quaternary growth rates in international tourist arrivals to Thailand are
negative (except the first quaternary is negative growth). Furthermore the average per
year growth rate is positive as well as average per year growth rate equally between
1.90% and 2.50% during this period. The best method of forecasting international tourist
arrivals to Thailand based on both the SARIMA(0,1,1)(0,1,4) and VAR model indicates
a positive growth rate (average per year) for 2006-2010. Mover over in quaternary three

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and quaternary four based on the two method of forecasting, international tourist arrivals
to Thailand is expected to have positive growth (average per year) during this period.

6. The conclusions of research and policy recommendations

This paper provides forecasting analysis of international tourist arrivals to Thailand for
2006-2010 based on two categories: (a) Structural Models, in this paper called multi
variable forecasting, (b) Trend Extrapolation Models, in this paper called single
variable forecasting. The Structural Models or methods used for multiple variable
forecasting for predicting the number of international tourist arrival to Thailand for
2006-2010 were the VAR model, the GMM method, the ARCH-GARCH method, the
ARCH-GARCH-M method, the TARCH method, the EGARCH method and the
PARCH method. The Trend Extrapolation Models or methods of forecasting from a
single variable used to forecasts the number of international tourist arrival to Thailand in
this period were the Holt-winter method, the ARIMA method, the SARIMA method and
the Neural Net work method.

The best method of forecasting from Structural Models is the SARIMA(0,1,1)(0,1,4)

method because the MAPE value of this method was much lower than for other
methods (see table1). And the best method of forecasting from Trend Extrapolation
Models was the VAR method because also the MAPE value for this methods was much
lower than for other methods (see table 2). The MAPE value was used to look for the
best forecasting methods of international tourist arrivals to destination countries in the
world (Law and Au, 1999), (Papatheodorou and Song, 2005), (Kon and Turner, 2005).
And the SARIMA (0,1,1)(0,1,4) method predicts that in 2010 the number of
international tourists arrival to Thailand will be 15,700,656 million (see both appendix
A and table 5). Also the VAR method predicts that in 2010 the number of international
tourists to Thailand will be 15,985,416 million (see both appendix A and table 6).
Therefore the conclusion of this research is that for the next five years, the number of
international tourists to Thailand will continue to increase. This result was similar with
the results of previous empirical studies of forecasting the international tourist receipts
for the world, Asia and Thailand (Papatheodorou and Song, 2005),(Jo Chau Vu and
Lindsay W. Turner,2006) which indicate that the number of international tourists in
these area will have positive growth rates for 2006-2010.

If these results can be generalized for future years, then it suggests that both the Thai
government sector and the private tourism industry sector need to prepare for increased
numbers of international tourists to Thailand for 2006-2010 and should ensure that there
are adequate numbers of hotels, transportation, tourist destinations, tourist police units
and airports, and that there is an adequate budget allocated for developing facilities and
human resources and for addressing the environmental impact of increased tourism.

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Appendix A

Extension experimental results of forecasting international tourist arrivals to Thailand

for 2006-2010 based on both the SARIMA method and the VAR method

Table 5. Forecast the number of international tourist arrivals to Thailand for 2006(Q1)-
2010(Q4) based on the SARIMA forecasting method.

SARIMA forecasting method

Year / Quaternary (Million)
2006 Q1 2,977,142.10
Q2 2,862,141.00
Q3 3,173,676.00
Q4 3,354,156.00
Total 12,367,115.10
2007 Q1 3,285,954.00
Q2 3,281,727.00
Q3 3,416,709.00
Q4 3,544,509.00
Total 13,528,899.00
2008 Q1 3,387,561.00
Q2 3,322,602.00
Q3 3,568,173.00
Q4 3,738,279.00
Total 14,016,615.00
2009 Q1 3,613,206.00
Q2 3,574,569.00
Q3 3,785,883.00
Q4 3,950,979.00
Total 14,924,637.00
2010 Q1 3,795,390.00
Q2 3,738,390.00
Q3 3,990,771.00
Q4 4,176,105.00
Total 15,700,656.00
Form computed.

Figure 1. Graphical presentation of forecasting international tourist arrivals to Thailand for

2006-2010 based on the SARIMA forecasting method

SARIMA forecasting method

4,500,000.00
4,000,000.00
3,500,000.00
3,000,000.00
2,500,000.00
2,000,000.00
1,500,000.00
1,000,000.00
500,000.00
-
2006 Q2 Q3 Q4 2007 Q2 Q3 Q4 2008 Q2 Q3 Q4 2009 Q2 Q3 Q4 2010 Q2 Q3 Q4
Q1 Q1 Q1 Q1 Q1

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Form computed .
Table 6. Forecast the number of international tourist arrivals to Thailand during 2006(Q1)-
2010(Q4) based on VAR method.

VAR forecasting method

Year / Quaternary ( Million )
2006 Q1 2,887,912.30
Q2 2,843,776.20
Q3 2,994,270.00
Q4 3,145,155.70
Total 11,871,114.20
2007 Q1 3,076,805.30
Q2 3,064,769.20
Q3 3,205,338.00
Q4 3,376,997.00
Total 12,723,909.50
2008 Q1 3,284,452.10
Q2 3,316,614.90
Q3 3,441,269.00
Q4 3,637,182.00
Total 13,679,518.00
2009 Q1 3,514,418.00
Q2 3,606,444.00
Q3 3,706,075.00
Q4 3,932,221.00
Total 14,759,158.00
2010 Q1 3,769,423.00
Q2 3,941,909.00
Q3 4,005,906.00
Q4 4,268,178.00
Total 15,985,416.00
Form computed.

Figure 2. Graphical presentation of forecasting international tourist arrivals to Thailand for

2006-2010 based on the VAR forecasting method

VAR method
4,500,000.00
4,000,000.00
3,500,000.00
3,000,000.00
2,500,000.00
2,000,000.00
1,500,000.00
1,000,000.00
111
500,000.00
-
2006 Q2 Q3 Q4 2007 Q2 Q3 Q4 2008 Q2 Q3 Q4 2009 Q2 Q3 Q4 2010 Q2 Q3 Q4
Q1 Q1 Q1 Q1 Q1

From computed.

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