Long haul international travel is more expensive than short haul international travel. This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand, respectively. The primary purpose in attracting international tourists is to encourage international tourist spending. Variations in international tourist arrivals are equivalent to variations in international tourism expenditures if the rate of growth in tourism spending is constant, as is likely. In this sense, international tourist arrivals are equivalent to the prices of financial assets in that changes in both lead to positive or negative financial returns. We use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the GARCH (1,1), GJR (1,1) and EGARCH (1,1) models. The data series are for the period January 1997 to December 2007. The volatility estimates for the monthly growth in Japanese long haul tourists to New Zealand and short haul tourists to Taiwan indicate that the former has an asymmetric, as well as a leverage, effect on risk, whereby negative shocks increase volatility but positive shocks of similar magnitude decrease volatility, while the latter has a symmetric effect. These empirical results seem to be similar to a wide range of financial stock market returns, so that the models used in financial econometrics are also applicable to international tourist arrivals. The empirical results may be used to recommend whether long haul or short haul international tourists should be encouraged for Taiwan and New Zealand.