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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")

Format

An object of class fHMM_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))
)