A pre-computed HMM on closing prices of the DAX from 2000 to 2022 with three hidden states and state-dependent t-distributions for demonstration purpose.
Usage
data("dax_model_3t")Format
An object of class fHMM_model.
Details
The model was estimated via:
controls <- set_controls(
states = 3,
sdds = "t",
data = list(
file = dax,
date_column = "Date",
data_column = "Close",
logreturns = TRUE,
from = "2000-01-03",
to = "2022-12-31"
),
fit = list(
runs = 100,
iterlim = 300,
gradtol = 1e-6,
steptol = 1e-6
)
)
dax_data <- prepare_data(controls)
dax_model_3t <- fit_model(dax_data, seed = 1, ncluster = 10)
dax_model_3t <- decode_states(dax_model_3t)
dax_model_3t <- compute_residuals(dax_model_3t)
summary(dax_model_3t)