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

Financial Innovation

Table 4 Result of the dynamic regression model: explanatory variable “cumulative number of cases”

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(Cases + 1) η_t ~ ARIMA(1,1,1)	DF = − 16.6 d = 1 lag = 0 p Value = 0.01	ar1	0.976	0.025	38.2	0.000**	615.1	0.73	Q* = 9.6 df = 7 p Value = 0.2
		ma1	− 0.788	0.049	− 15.8	0.000**
		β	− 16.448	3.658	− 4.5	0.000**