Table 7.

Hybrid model parameter estimation for Japanese hotel stocks

	Regime 1		Regime 2		Constant	T-Matrix		LL	AIC	SIC
	λ1	k1	λ2	k2	β	δ1	δ2
FJT	− 6.810E−07	− 3.707	− 8.150E−07	− 4.530	0.858	4.197	− 4.252	1542	− 3070	− 3039
IMP	6.100E−07	− 3.289	5.500E−07	− 5.016	0.225	1.842	− 3.762	1903	− 3792	− 3761
RYL	7.440E−07	− 3.770	− 4.170E−07	− 5.226	0.138	2.502	− 3.009	1820	− 3626	− 3596
KYT	2.320E−07	− 3.712	− 3.850E−07	− 5.178	0.137	2.606	− 3.225	1813	− 3611	− 3581
OL	1.930E−09	− 3.685	− 3.350E−07	− 4.498	0.553	1.814	− 3.469	1683	− 3352	− 3322
SB	1.020E−07	− 3.597	− 1.780E−06	− 4.428	0.719	3.519	− 4.071	1548	− 3082	− 3051
KRT	− 1.590E−07	− 4.254	− 8.400E−06	− 3.542	0.992	4.249	− 3.776	1459	− 2904	− 2874

Note that the bold and italic numbers represent statistical significance and weakly statistical significance at 5$\%$ and 10$\%$, respectively. $\beta$s, representing the sensitivity of the market to hotel stock prices, are statistically significant. ${\lambda }_2$s for SB and KRT, representing the impact of changes in the number of COVID-19 cases on hotel stock prices in Regime 2, are strongly statistically significant negative values and ${\lambda }_2$ for RYL is a weakly statistically significant negative value