Paper Title
Risk Assessment of Tourism Revenue in Thailand by Markov-Switching Garch-X Model

Abstract
This paper adopts the Markov-Switching GARCH-X model to find the volatility and the risk of tourism revenue from 5 countries consisting China, Japan, Korea, Malaysia, and the United Kingdom. We consider different distributions for our standardized residual. To select the best model, we consider the lowest values of AIC and BIC. The results show that the student-t innovation performs better for all countries except for Malaysia. We find that GED is the best fit distribution for Malaysia case. The result also confirms that the risk of Thai tourism revenue in high tourism arrival regime is lower than low tourism regimes. Keywords - Value at Risk, Volatility