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Table 11 MS-GARCH (1,1) model parameter estimation for US hotel stocks and SPX

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

 

ω1

α1

β1

ω2

α2

β2

p11

p22

CHH

2.502E−05

0.147

0.789

5.561E−04

2.801E−06

0.789

0.973

0.840

H

1.153E−04

0.129

1.719E−05

2.572E−05

0.136

0.839

0.997

0.993

HLT

1.753E−04

0.182

3.993E−05

1.856E−03

3.781E−02

1.000E−06

0.974

0.897

IHG

1.008E−04

0.224

1.341E−05

1.512E−05

0.126

0.859

0.998

0.998

MAR

2.083E−04

0.240

2.483E−05

9.881E−04

0.245

0.431

0.991

0.970

WH

1.491E−04

0.157

1.194E−05

5.631E−05

0.135

0.816

0.994

0.991

MGM

2.054E−03

1.005E−06

1.005E−06

5.700E−05

0.628

1.005E−06

0.210

0.000

SPX

3.684E−06

0.160

0.764

3.859E−04

3.057E−05

1.692E−04

0.970

0.704

  1. Note that the bold numbers represent statistical significance compared to the corresponding standard errors. One regime for IHG, MGM and SPX does not have a GARCH or ARCH effect, and two regimes for HLT remain undetected