Measuring the value at risk of the number of tourists staying in each province in Thailand from COVID-19 pandemic

Abstract

This paper would like to study change of tourists from the coronavirus disease 2019 (COVID-19) pandemic and compute Value at Risk (VaR) and Conditional Value at Risk (CVaR) at 95% and 90% confidence interval of the rate of change in the number of tourists’ occupancy in each province of Thailand during the COVID-19 pandemic. We applied historical simulations to monthly data between January 2019 and October 2021 of the number of tourists in each province of Thailand for all samples and excluding April. Because April 2020 is a city shutdown. The results show the Value at Risk (VaR) and Conditional Value at Risk (CVaR) at 95% and 90% confidence interval in case exclude April are consistent with Value at Risk (VaR) and Conditional Value at Risk (CVaR) at 90% confidence interval in case all samples. The highest rate of change in the number of tourists’ occupancy of Thailand during the COVID-19 pandemic in South, East, and Central, respectively. But the results conflicts with the results from Value at Risk (VaR) and Conditional Value at Risk (CVaR) at 95% confidence interval in case all samples, which find the highest rate of change in the number of tourists’ occupancy of Thailand during the COVID-19 pandemic in Northeast, West, and Central respectively. Because in case all samples, a lot of provinces in Northeast have the rate of change in the number of tourists’ occupancy reduce in average 100%.

Keyword: Value at Risk / Conditional Value at Risk / Tourists/ COVID-19