Standard &amp; Poor’s 500 (S&amp;P 500) index data from 1928 to 2022 from Yahoo
Finance.

data

Fitting (hierarchical) hidden Markov models to financial data
via maximum likelihood estimation. See Oelschläger, L. and Adam, T.
"Detecting Bearish and Bullish Markets in Financial Time Series Using
Hierarchical Hidden Markov Models" (2021, Statistical Modelling)
<doi:10.1177/1471082X211034048> for a reference on the method. A user guide
is provided by the accompanying software paper "fHMM: Hidden Markov Models
for Financial Time Series in R", Oelschläger, L., Adam, T., and Michels, R.
(2024, Journal of Statistical Software) <doi:10.18637/jss.v109.i09>.

Lennart Oelschläger

fHMM

Fitting Hidden Markov Models to Financial Data

Timo Adam

Rouven Michels

spx function

A <code>data.frame</code> with 23864 rows and the following 7 columns:<ul>
<li><code>Date</code>: The date.</li>
<li><code>Open</code>: Opening price.</li>
<li><code>High</code>: Highest price.</li>
<li><code>Low</code>: Lowest price.</li>
<li><code>Close</code>: Close price adjusted for splits.</li>
<li><code>Adj.Close</code>: Close price adjusted for dividends and splits.</li>
<li><code>Volume</code>: Trade volume.</li>
</ul>

spx: Standard & Poor’s 500 (S&P 500) index data

Description

Usage

Arguments

Format

Details