Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily data from 1 January 1990 to 31 December 2008 are used to model the Korean Won / New Taiwan exchangerateandtouristarrivalsfromKoreatoTaiwan,aswellastheirassociatedvolatility.ThesampleperiodincludestheAsianeconomicandfinancialcrisesin1997,andasignificantpartoftheglobalfinancialcrisisof2008−09.InclusionoftheexchangerateallowsapproximatedailypriceeffectsonKoreantourismarrivalstoTaiwantobecaptured.TheHeterogeneousAutoregressive(HAR)modelisusedtocapturelongmemorypropertiesinexchangeratesandKoreantouristarrivals,totestwhetheralternativeestimatesofconditionalvolatilityaresensitivetothelongmemoryintheconditionalmean,andtoexamineasymmetryandleverageinvolatility.Theempiricalresultsshowthattheconditionalvolatilityestimatesarenotsensitivetothelongmemorynatureoftheconditionalmeanspecifications.TheQMLEfortheGARCH(1,1),GJR(1,1)andEGARCH(1,1)modelsforKoreantouristarrivalstoTaiwanandtheKoreanWon/NewTaiwan exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models.exchange rates;GARCH;leverage;asymmetry;long memory;Asian economic and financial crisis;EGARCH;HAR;Korean tourist arrivals;GJR;approximate price effects;global financial crisis