ldhmm.fred_data: Utility to download time series from FRED

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

Utility to download time series from FRED

Description

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

Usage

ldhmm.fred_data(symbol, col_out = "Close", do.logr = TRUE)

Arguments

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

Value

The xts object for the time series

Examples

## Not run: 
ldhmm.fred_data("VIXCLS")

## End(Not run)

ldhmm documentation built on May 29, 2024, 7:05 a.m.