//+------------------------------------------------------------------+
//|                                                         vol2.mq5 |
//|                             Copyright 2000-2026, MetaQuotes Ltd. |
//|                                                     www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2000-2026, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
//---
#property script_show_inputs
//---
input string symbol = "EURCHF";            // Market symbol for analysis
input datetime from_t = D'2024.09.20';     // Start of analysis time interval
input datetime to_t = D'2026.09.20';       // End of analysis time interval
input ulong pfit = 3;                      // Fitted p for model testing
input ulong qfit = 3;                      // Fitted q for model testing
//---
#include "EconometricsM.mqh"
//---
void OnStart()
  {
//--- quotes downloading
   MqlRates rates[];
   int n_rates = CopyRates(symbol, PERIOD_D1, from_t, to_t, rates);
   PrintFormat("Number of downloaded quotes for market symbol %s: %d", symbol, n_rates);
   if(n_rates < 2)
      return;
//--- y calculation
   ulong n=(ulong)n_rates;
   vector y(n);
   for(ulong i=0;i<n;++i)
      y[i]=MathLog(rates[i].high/rates[i].low);
//--- Model with fitted p and q testing
   vector e;
   CoefficientStats stats[];
   SPrognose prog;
   regression_CLS(y,pfit,qfit,vector::Zeros(pfit),vector::Zeros(qfit),e,stats,prog);
//--- Residuals graph vs t
   t_residuals_plot(e);
//--- Residuals QQ-plot
   qq_plot(e);
//--- EPDF of residuals vs. normal density
   epdf_vs_normalpdf(e);
// Adaptive lag m for LM-test
   ulong m = (ulong)MathMax(pfit+qfit+1,MathRound(MathLog(n)));
//--- Breusch-Godfrey serial correlation LM-test
   LM_test(y,e,pfit,m);
  }
//+------------------------------------------------------------------+