Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic
Islands are one of the most popular destinations in Spain. For tourism management and
marketing, it is essential to forecast tourist arrivals accurately. As it is important to
provide sensible tourist forecast intervals, it is also necessary to model their variances
accurately. Time-varying variances also provide useful information regarding the risk
associated with tourist arrivals. This paper examines spatial aggregation across micro
entities to more aggregated macro entities, in addition to temporal aggregation, for
purposes of analyzing risk in tourism marketing and management. The paper examines
four different types of asymmetric behaviour related to the effects of positive and
negative shocks of equal magnitude on volatility. The paper analyzes daily air passenger
arrivals from the Spanish National Airport Authority from 2001-06 to the Balearics,
using time series models for the conditional mean and conditional volatility.
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