Table 12.

Direct model parameter estimation for US hotel stocks: a short-term sample immediately before and after COVID-19

	Regime 1			Regime 2			T-Matrix
	C1	λ1	k1	C2	λ2	k2	δ1	δ2
CHH	4.680E−04	1.070E−06	− 2.604	− 2.577E−02	− 4.390E−06	− 4.248	1.784	− 1.038
H	− 8.138E−03	− 1.470E−06	− 6.311	− 1.326E−02	− 2.090E−06	− 2.536	− 0.644	− 1.529
HLT	− 1.025E−02	− 8.480E−07	− 2.801	− 8.845E−03	3.970E−07	− 6.272	1.872	1.221
IHG	− 1.929E−02	− 1.000E−06	− 3.658	− 8.612E−03	4.250E−06	− 2.422	2.178	− 2.468
MAR	− 8.404E−03	− 1.420E−05	− 9.545	− 1.187E−02	1.510E−07	− 2.623	− 9.147	− 2.198
WH	5.030E−04	− 5.140E−06	− 2.949	− 6.516E−02	3.940E−05	− 2.156	3.424	− 2.141
MGM	− 3.457E−02	3.080E−05	− 1.848	− 2.903E−02	2.670E−06	− 3.282	1.913	− 2.385

Note that the bold numbers represent statistical significance at 5$\%$. We obtain statistically significant and negative ${\lambda }_1$ or ${\lambda }_2$, representing the impact of changes in the number of COVID-19 cases on hotel stock prices in Regime 1 or 2, respectively, for CHH, H and MAR. In addition, there were a number of cases where the transition probabilities of ${\delta }_1$ or ${\delta }_2$ were not statistically significant except for WH and MGM