ldhmm.fred_data

This utility downloads time series from FRED. It serves as a data source for daily data,
e.g. SP500 for S&amp;P 500, and VIXCLS for CBOE VIX index. This can be concatenated to the 
static data to provide daily updates.

data

Hidden Markov Model (HMM) based on symmetric lambda distribution
framework is implemented for the study of return time-series in the financial
market. Major features in the S&P500 index, such as regime identification,
volatility clustering, and anti-correlation between return and volatility,
can be extracted from HMM cleanly. Univariate symmetric lambda distribution
is essentially a location-scale family of exponential power distribution.
Such distribution is suitable for describing highly leptokurtic time series
obtained from the financial market. It provides a theoretically solid foundation
to explore such data where the normal distribution is not adequate. The HMM
implementation follows closely the book: "Hidden Markov Models for Time Series",
by Zucchini, MacDonald, Langrock (2016).

Stephen Lihn

ldhmm

Hidden Markov Model for Financial Time-Series Based on Lambda
Distribution

ldhmm.fred_data function

<dl><dt>symbol</dt>
<dd>character, the name of the time series</dd>
<dt>col_out</dt>
<dd>character, the name of the output closing price column. Default: "Close"</dd>
<dt>do.logr</dt>
<dd>logical, if <code>TRUE</code> (default), produce xts object of logr; otherwise, just the <code>col_out</code> column.
Be aware that, because logr uses diff, the first day close will be deleted.</dd></dl>

Arguments

Utility to download time series from FRED — ldhmm.fred_data

<dl>

<dt>symbol</dt>
<dd>character, the name of the time series</dd>


<dt>col_out</dt>
<dd>character, the name of the output closing price column. Default: "Close"</dd>


<dt>do.logr</dt>
<dd>logical, if <code>TRUE</code> (default), produce xts object of logr; otherwise, just the <code>col_out</code> column.
Be aware that, because logr uses diff, the first day close will be deleted.</dd>

</dl>

ldhmm.fred_data: Utility to download time series from FRED

Description

Usage

Value

Arguments

Examples