Table 4.

Direct model parameter estimation for Japanese hotel stocks

	Regime 1		Regime 2		T-Matrix		LL	AIC	SIC
	λ1	k1	λ2	k2	δ1	δ2
FJT	− 9.520E−07	− 3.438	− 1.730E−06	− 4.281	3.400	− 4.053	1464	− 2916	− 2889
IMP	3.690E−07	− 4.956	3.700E−08	− 3.205	3.795	− 1.805	1876	− 3739	− 3713
RYL	− 4.920E−07	− 5.252	3.750E−07	− 3.742	2.921	− 2.485	1811	− 3611	− 3584
KYT	− 4.680E−07	− 5.172	1.800E−08	− 3.685	3.256	− 2.644	1805	− 3597	− 3571
OL	− 6.470E−05	− 3.515	− 6.840E−07	− 4.336	2.333	− 4.453	1626	− 3241	− 3214
SB	− 2.050E−06	− 4.374	− 8.950E−07	− 3.538	4.381	− 4.095	1488	− 2964	− 2938
KRT	− 9.070E−07	− 4.108	− 1.470E−05	− 3.304	4.030	− 3.296	1377	− 2742	− 2716

Note that the bold and italic numbers represent statistical significance and weakly statistical significance at 5$\%$ and 10$\%$, respectively. ${\lambda }_1$s of RYL, KYT, OL, and SB, and ${\lambda }_2$s of FJT and KRT in Table 4, representing the impact of COVID-19 infection speed to stock price returns in Regimes 1 and Regimes 2, respectively, are statistically significant negative estimates, while ${\lambda }_1$ of KYT is weakly statistically significant