This function constructs an object of class `fHMM_data`

, which contains
the financial data for modeling.

## Arguments

- dates
The dates in the empirical case.

- time_points
The time points in the simulated case.

- markov_chain
The states in the simulated case.

- data
The data for modeling.

- time_series
The data before transformation.

- T_star
The fine-scale chunk sizes.

- controls
The

`fHMM_controls`

object.- true_parameters
The

`fHMM_parameters`

object in the simulated case.- x
An object of class

`fHMM_data`

.- ...
Currently not used.

- object
An object of class

`fHMM_data`

.

## Value

An object of class `fHMM_data`

, which is a `list`

containing
the following elements:

The

`matrix`

of the`dates`

if`simulated = FALSE`

and`controls$data$data_column`

is specified,the

`matrix`

of the`time_points`

if`simulated = TRUE`

or`controls$data$data_column`

is not specified,the

`matrix`

of the simulated`markov_chain`

if`simulated = TRUE`

,the

`matrix`

of the simulated or empirical`data`

used for estimation,the

`matrix`

`time_series`

of empirical data before the transformation to log-returns if`simulated = FALSE`

,the

`vector`

of fine-scale chunk sizes`T_star`

if`controls$hierarchy = TRUE`

,the input

`controls`

,the

`true_parameters`

.