This project documents an MQL5 implementation approach for asymmetric volatility modeling, extending a prior ARCH/GARCH library with support for:
- GJR-GARCH
- TARCH
The article explains why asymmetric volatility matters in financial time series, especially under the leverage effect, and shows how these models can be integrated into an MQL5 volatility framework for fitting, forecasting, and comparative analysis across asset classes.
- MQL5 95%
- MQL4 5%
| Arch | ||
| Regression | ||
| ConditionalVolatility_forecaster.mq5 | ||
| Equity_vs_Forex_Asymmetry_Significance_Test.mq5 | ||
| GJR_Demo.mq5 | ||
| Impact_Curves.mq5 | ||
| np.mqh | ||
| README.md | ||
| sp500.csv | ||
| TARCh_Demo.mq5 | ||
