Table 11.

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

	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

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