A pre-computed HHMM with monthly averaged closing prices of the DAX from 2010 to 2022 on the coarse scale, Volkswagen AG stock data on the fine scale, two hidden fine-scale and coarse-scale states, respectively, and state-dependent t-distributions for demonstration purpose.
Usage
data("dax_vw_model")Format
An object of class fHMM_model.
Details
The model was estimated via:
controls <- set_controls(
hierarchy = TRUE,
states = c(2, 2),
sdds = c("t", "t"),
period = "m",
data = list(
file = list(dax, vw),
from = "2010-01-01",
to = "2022-12-31",
logreturns = c(TRUE, TRUE)
),
fit = list(
runs = 200,
iterlim = 300,
gradtol = 1e-6,
steptol = 1e-6
)
)
dax_vw_data <- prepare_data(controls)
dax_vw_model <- fit_model(dax_vw_data, seed = 1, ncluster = 10)
dax_vw_model <- decode_states(dax_vw_model)
dax_vw_model <- compute_residuals(dax_vw_model)
summary(dax_vw_model)