A pre-computed HHMM with monthly averaged closing prices of the DAX from 2000 to 2021 on the coarse scale, VW stock data on the fine scale, two hidden fine-scale and coarse-scale states, respectively, and state-dependent t-distributions with degrees of freedom fixed to 1 for demonstration purpose.
Usage
data("dax_vw_model")Details
The model was derived via specifying
controls <- list(
hierarchy = TRUE,
states = c(2,2),
sdds = c("t(df = 1)", "t(df = 1)"),
period = "m",
data = list(file = c(system.file("extdata", "dax.csv", package = "fHMM"),
system.file("extdata", "vw.csv", package = "fHMM")),
from = "2015-01-01",
to = "2020-01-01",
logreturns = c(TRUE,TRUE))
)