65 lines
2.2 KiB
MQL5
65 lines
2.2 KiB
MQL5
|
//+------------------------------------------------------------------+
|
||
|
|
//| TARCH_Demo.mq5 |
|
||
|
|
//| Copyright 2025, MetaQuotes Ltd. |
|
||
|
|
//| https://www.mql5.com |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
#property copyright "Copyright 2025, MetaQuotes Ltd."
|
||
|
|
#property link "https://www.mql5.com"
|
||
|
|
#property version "1.00"
|
||
|
|
#property script_show_inputs
|
||
|
|
#include<VolatilityModels\Arch\Univariate\mean.mqh>
|
||
|
|
//--- input parameters
|
||
|
|
input string Symbol_="AUDUSD";
|
||
|
|
input ENUM_TIMEFRAMES TimeFrame=PERIOD_D1;
|
||
|
|
input datetime StartDate=D'2025.01.01';
|
||
|
|
input ulong HistoryLen = 504;
|
||
|
|
input double ScaleFactor=100.;
|
||
|
|
input bool MeanConstant = true;
|
||
|
|
input ulong _P_ = 1;
|
||
|
|
input ulong _O_ = 1;
|
||
|
|
input ulong _Q_ = 1;
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Script program start function |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
void OnStart()
|
||
|
|
{
|
||
|
|
vector prices;
|
||
|
|
if(!prices.CopyRates(Symbol_,TimeFrame,COPY_RATES_CLOSE,StartDate,HistoryLen))
|
||
|
|
{
|
||
|
|
Print(" failed to get close prices for ", Symbol_,". Error ", GetLastError());
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
//---
|
||
|
|
prices = log(prices);
|
||
|
|
//---
|
||
|
|
vector returns = np::diff(prices);
|
||
|
|
//-- specify the model parameters
|
||
|
|
ArchParameters tarch_spec;
|
||
|
|
tarch_spec.observations=ScaleFactor*returns;
|
||
|
|
tarch_spec.include_constant = MeanConstant;
|
||
|
|
tarch_spec.vol_model_type = VOL_TARCH;
|
||
|
|
tarch_spec.garch_p = _P_;
|
||
|
|
tarch_spec.garch_q = _Q_;
|
||
|
|
tarch_spec.garch_o = _O_;
|
||
|
|
//-- initialize the mean model
|
||
|
|
ConstantMean tarch_model;
|
||
|
|
//---
|
||
|
|
if(!tarch_model.initialize(tarch_spec))
|
||
|
|
return;
|
||
|
|
//---get the model parameters
|
||
|
|
vector empty;
|
||
|
|
ArchModelResult tarch_params = tarch_model.fit(ScaleFactor);
|
||
|
|
//--check the model is fitted
|
||
|
|
if(!tarch_params.params.Size())
|
||
|
|
{
|
||
|
|
Print("Convergence failed ", GetLastError());
|
||
|
|
return;
|
||
|
|
}
|
||
|
|
//---
|
||
|
|
Print("TARCH model parameters ", tarch_params.params);
|
||
|
|
vector pv = tarch_params.pvalues();
|
||
|
|
Print("TARCH model pvalues: ");
|
||
|
|
for(ulong i = 0; i<pv.Size(); ++i)
|
||
|
|
Print(" pvalue for param at ", i , " :- ", pv[i]);
|
||
|
|
//---
|
||
|
|
}
|