A pre-computed HMM on closing prices of the DAX from 2000 to 2021 with three hidden states and state-dependent t-distributions for demonstration purpose.
Usage
data("dax_model_3t")
Details
The model was derived via specifying
controls <- list(
states = 3,
sdds = "t",
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)
)