DAX 2-state HMM

A pre-computed HMM on closing prices of the DAX from 2000 to 2021 with two hidden states and normal state-dependent distributions for demonstration purpose.

Usage

data("dax_model_2n")

Format

An object of class fHMM_model.

Details

The model was derived via specifying

controls <- list(
  states = 2,
  sdds   = "t(df = Inf)",
  data   = list(file        = system.file("extdata", "dax.csv", package = "fHMM"),
                date_column = "Date",
                data_column = "Close",
                logreturns  = TRUE,
                from        = "2000-01-03",
                to          = "2021-12-31"),
  fit    = list("runs" = 100)
  )