Table 5.

Direct model parameter estimation for US hotel stocks

	Regime 1		Regime 2		T-Matrix		LL	AIC	SIC
	λ1	k1	λ2	k2	δ1	δ2
CHH	1.340E−07	− 3.193	− 2.090E−08	− 4.401	3.143	− 4.353	1651	− 3290	− 3264
H	− 1.670E−07	− 2.961	− 1.400E−08	− 4.217	2.526	− 3.718	1506	− 2999	− 2973
HLT	− 2.900E− 08	− 4.222	1.330E−08	− 3.134	3.820	− 2.343	1579	− 3146	− 3119
IHG	− 3.650E−08	− 4.151	− 5.260E−07	− 2.849	5.221	− 3.383	1572	− 3132	− 3106
MAR	− 4.560E−08	− 2.923	− 1.050E−08	− 4.132	3.263	− 4.536	1505	− 2999	− 2972
WH	− 2.280E−07	− 2.715	− 3.050E−08	− 4.079	2.812	− 4.695	1521	− 3030	− 3003
MGM	− 4.590E−08	− 3.865	− 4.310E−08	− 2.466	4.640	− 3.025	1343	− 2673	− 2646

Note that the bold numbers represent statistical significance at 5$\%$. The parameters ${\lambda }_1$ and ${\lambda }_2$, which represent the impact of the speed of infection of COVID-19 on price returns in Regimes 1 and 2, respectively, are not statistically significant