dax_model_2n {fHMM}

DAX 2-state HMM with normal distributions

Description

A pre-computed HMM on closing prices of the DAX from 2000 to 2022 with two hidden states and normal state-dependent distributions for demonstration purpose.

Usage

data("dax_model_2n")

Format

An object of class fHMM_model.

Details

The model was estimated via:

controls <- set_controls(
states = 2,
sdds   = "normal",
data   = list(
  file        = dax,
  date_column = "Date",
  data_column = "Close",
  logreturns  = TRUE,
  from        = "2000-01-03",
  to          = "2022-12-31"
),
fit    = list("runs" = 10, "gradtol" = 1e-6, "steptol" = 1e-6)
)
dax_data <- prepare_data(controls)
dax_model_2n <- fit_model(dax_data, seed = 1)
dax_model_2n <- decode_states(dax_model_2n)
dax_model_2n <- compute_residuals(dax_model_2n)
summary(dax_model_2n)