COVID-19 and tourism sector stock price in Spain: medium-term relationship through dynamic regression models

Financial Innovation

Table 3 Result of the dynamic regression model: explanatory variable “cumulative number of deaths”

Model Y_t = α + βX_t + η	Dickey–Fuller test	Estimation coefficients					AIC	RMSE	Ljung–Box test
Model Y_t = α + βX_t + η	Dickey–Fuller test		Estimate	Std. error	Z	p Value	AIC	RMSE	Ljung–Box test
Y_t = ASP-tourism X_t = log₁₀(deaths + 1) η_t ~ ARIMA(2,1,1)	DF = − 16.6 d = 1 lag = 0 p Value = 0.01	ar1	0.619	0.155	3.99	0.000**	660.4	0.72	Q* = 9.8 df = 6 p Value = 0.1
		ar2	0.152	0.068	2.22	0.026*
		ma1	− 5.77	0,149	− 3.85	0.000**
		β	− 3.725	0.860	− 4.33	0.000**