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

Financial Innovation

Table 8 Hybrid model parameter estimation for US hotel stocks

	Regime 1		Regime 2		Constant	T-Matrix		LL	AIC	SIC
	λ₁	k₁	λ₂	k₂	β	δ₁	δ₂	LL	AIC	SIC
CHH	− 3.690E−08	− 4.646	1.450E−07	− 3.361	1.033	3.240	− 1.617	1809	− 3605	− 3574
H	− 4.700E−08	− 4.415	1.300E−08	− 3.209	1.152	4.754	− 3.773	1624	− 3235	− 3204
HLT	− 7.810E−08	− 3.414	− 3.710E−08	− 4.521	1.055	2.110	− 3.274	1715	− 3417	− 3386
IHG	− 3.920E−08	− 4.506	− 2.060E−07	− 3.547	1.116	5.634	− 4.766	1707	− 3401	− 3369
MAR	− 3.550E−08	− 4.396	1.240E−07	− 3.112	1.260	4.340	− 3.054	1645	− 3275	− 3244
WH	− 4.690E−08	− 4.226	− 1.140E−06	− 2.773	1.227	5.314	− 2.721	1674	− 3334	− 3303
MGM	− 1.410E−07	− 2.925	− 6.250E−08	− 4.198	1.540	2.953	− 3.980	1473	− 2932	− 2900

Note that the bold and italic numbers represent statistical significance and weakly statistical significance at 5\(\%\) and 10\(\%\), respectively. \(\beta\)s, representing the sensitivity of the market to hotel stock prices, are statistically significant. \(\lambda _2\) for MGM, representing the impact of changes in the number of COVID-19 cases on hotel stock prices in Regime 2, is a statistically significant negative value. \(\lambda _1\) for CHH, H, IHG, and WH, representing that in Regime 1, are weakly but statistically significant negative values