This paper introduces the models including the EGARCH, AGARCH, and GJR models to capture asymmetric effects of news(good and bad news) impacts on volatility. All these models are found that negative shocks introduce more volatility than positive shocks do. Overall, the AGARCH and GJR models are the best at capturing the asymmetric effect. Furthermore, the GJR model successfully revealed the shape of the mews impact curve and was a useful approach to modeling conditional heteroscedasticity, since the GJR yields the highest log-likelihood. The results of this study may provide useful information in estimates of inbound tourist demand.