Financial Innovation

Table 10 MS-GARCH (1,1) model parameter estimation for Japanese hotel stocks and NKY

From: An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

	ω₁	α₁	β₁	ω₂	α₂	β₂	p₁₁	p₂₂
FJT	1.285E−04	0.188	2.465E−05	3.495E−04	0.312	0.234	0.998	0.998
IMP	1.277E−05	0.327	1.000E−06	3.342E−05	(0.629)	(0.705)	0.651	0.085
RYL	1.743E−05	0.334	2.090E−05	1.345E−04	0.211	0.523	0.952	0.945
KYT	2.337E−05	0.347	1.305E−05	2.625E−05	8.661E−02	0.887	0.925	0.876
OL	1.313E−04	1.261E−06	1.003E−05	7.263E−06	2.564E−02	0.974	0.908	0.795
SB	1.319E−04	5.544E−02	1.707E−05	1.623E−04	7.744E−02	0.695	0.998	0.998
KRT	2.536E−04	1.000E−06	1.983E−05	3.704E−04	0.272	0.388	0.987	0.984
NKY	7.517E−05	0.150	6.684E−05	5.053E−04	0.278	0.000	0.988	0.908

Note that the bold numbers and round bracketed ones represent statistical significance compared to the corresponding standard errors and no stationarity, respectively. There are no examples except for RYL where both regimes satisfy stationarity and of which two regimes show GARCH or ARCH effects

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