The “happiness” that they report, is not happiness in the normal sense of the word. Danes actually tend toward depression, relative to the world average.
“Happiness” as they define it, is an index of assorted social and economic measures that they pick and refine to get the outcomes they want. Then they use that narrative to promote their preferred policy options (like more socialism).
Latin Americans tend to report and evidence the highest average happiness, in emotional terms.
Yes I was in Switzerland the last “Happiness Report” and read it, looked all around me and believe me...it wasnt happy.