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.
data("dax_model_2n")An object of class fHMM_model.
The model was estimated via:
controls <- list(
states = 2,
sdds = "t(df = Inf)",
data = list(
file = dax,
date_column = "Date",
data_column = "Close",
logreturns = TRUE,
from = "2000-01-03",
to = "2022-12-31"
),
fit = list(runs = 100)
)
controls <- set_controls(controls)
dax_data <- prepare_data(controls)
dax_model_2n <- fit_model(dax_data)