Table 6.

Direct model parameter estimation for NKY and SPX

	Regime 1		Regime 2		T-Matrix		LL	AIC	SIC
	λ1	k1	λ2	k2	δ1	δ2
NKY	− 4.110E−06	− 3.652	− 7.420E−07	− 4.716	2.111	− 4.243	1377	− 2742	− 2716
SPX	1.600E−08	− 4.936	− 5.600E-08	− 3.449	3.919	− 2.323	1992	− 3973	− 3946

Note that the bold numbers represent statistical significance at 5$\%$. ${\lambda }_2$ of NKY, representing the impact of COVID-19 infection speed to stock price returns in Regime 2 is statistically significant negative estimates, while both ${\lambda }_1$ and ${\lambda }_2$ of SPX are not statistically significant