Table 10.

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

	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