Development of Non- Linear Forecasting Model during International Tourists Arrival to Thailand

The purpose of this chapter is to develop non-linear forecasting models for predicting international tourist arrivals in Thailand using data from 1998 to 2014. This data was tested using the seasonal unit root test (HEGY-test extent version). Based on this test results, it was discovered that the number of international tourist arrivals to Thailand was impacted by the seasonal unit root procedure during the study period. As a result, both the MS-VAR model and the AR model are used to forecast this data for Thailand's future. The empirical findings of this study concluded that in high seasonal periods, AR (2)-MLE, AR (2)-MLE-bootstrapping, and AR(1)-ME-bootstrapping can be used to forecast the number of international tourist arrivals to Thailand in future years. In low season, however, only AR (1)-ME-bootstrapping can be used to forecast the number of international tourist arrivals in Thailand for future years.