Resumen
Tourism forecasting has garnered considerable interest. However, integrating tourism forecasting with volatility is significantly less typical. This study investigates the performance of both the single models and their combinations for forecasting the volatility of tourism demand. The seasonal autoregressive integrated moving average (SARIMA) model is used to construct the mean equation, and three single models, namely the generalized autoregressive conditional heteroscedasticity (GARCH) family models, the error-trend-seasonal exponential smoothing (ETS-ES) model, and the innovative smooth transition exponential smoothing (STES) model, are employed to estimate the volatility of monthly tourist arrivals into Malaysia. This study also assesses the accuracy of forecasts using simple average (SA), minimum variance (MV), and novel smooth transition (ST). STES performs the best of the single models for forecasting the out-of-sample of tourism demand volatility, followed closely by ETS-ES. In contrast, the ST combining method surpasses SA and MV. Interestingly, forecast combining methods do not always outperform the best single model, but they consistently outperform the worst single model. The MCS and DM tests confirm the aforementioned findings. This article merits consideration for future forecasting research on tourism demand volatility.