74 lines
2.5 KiB
MQL5
74 lines
2.5 KiB
MQL5
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//+------------------------------------------------------------------+
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//| GJR_Demo.mq5 |
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//| Copyright 2025, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#property script_show_inputs
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#include<VolatilityModels\Arch\Univariate\mean.mqh>
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//--- input parameters
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input string Symbol_="AUDUSD";
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input ENUM_TIMEFRAMES TimeFrame=PERIOD_D1;
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input datetime StartDate=D'2025.01.01';
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input ulong HistoryLen = 504;
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input double ScaleFactor=100.;
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input bool MeanConstant = true;
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input ulong _P_ = 1;
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input ulong _O_ = 1;
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input ulong _Q_ = 1;
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//+------------------------------------------------------------------+
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//| Script program start function |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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if(_O_<1)
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{
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Alert(" invalid setting, GJR GARCH models need an asymmetry parameter of at least 1\n Otherwise it becomes a regular GARCH model");
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return;
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}
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//---download data
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vector prices;
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if(!prices.CopyRates(Symbol_,TimeFrame,COPY_RATES_CLOSE,StartDate,HistoryLen))
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{
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Print(" failed to get close prices for ", Symbol_,". Error ", GetLastError());
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return;
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}
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//---
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prices = log(prices);
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//---
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vector returns = np::diff(prices);
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//-- specify the model parameters
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ArchParameters gjr_spec;
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gjr_spec.observations=ScaleFactor*returns;
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gjr_spec.include_constant = MeanConstant;
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gjr_spec.vol_model_type = VOL_GJR_GARCH;
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gjr_spec.garch_p = _P_;
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gjr_spec.garch_q = _Q_;
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gjr_spec.garch_o = _O_;
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//-- initialize the mean model
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ConstantMean gjr_model;
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//---
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if(!gjr_model.initialize(gjr_spec))
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return;
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//---get the model parameters
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vector empty;
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ArchModelResult gjr_params = gjr_model.fit(ScaleFactor);
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//--check the model is fitted
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if(!gjr_params.params.Size())
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{
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Print("Convergence failed ", GetLastError());
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return;
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}
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//---
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Print("GJR-GARCH model parameters ", gjr_params.params);
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//---
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Print("GJR-GARCH model parameters ", gjr_params.params);
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vector pv = gjr_params.pvalues();
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Print("GJR-GARCH model pvalues: ");
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for(ulong i = 0; i<pv.Size(); ++i)
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Print(" pvalue for param at ", i , " :- ", pv[i]);
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//---
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}
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//+------------------------------------------------------------------+
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