//+------------------------------------------------------------------+
//|                                                  EGARCH_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
#define __SLSQP__
#include "Arch\univariate\mean.mqh"
#resource "SPY2017.csv" as string equity_data
//--- Input parameters for script customization
input double           ScaleFactor = 100.;            //--- Rescaling multiplier to prevent optimizer underflow
input ulong            _P_ = 1;                       //--- Short-term ARCH lag order
input ulong            _O_ = 0;                       //--- Asymmetric term
input ulong            _Q_ = 1;                       //--- Long-term variance persistence GARCH lag order
//+------------------------------------------------------------------+
//| Script program start function                                    |
//+------------------------------------------------------------------+
void OnStart()
  {
//---
   vector prices;
//--- --- Step 1: Historical Data Fetch ---
   matrix data = np::readcsv_from_string(equity_data,false,",",true,0);
   prices = data.Col(1);

//--- --- Step 2: Transform Prices to Returns ---
//--- Map closing prices to logarithmic space
   prices = log(prices);

//--- Compute log returns: r_t = ln(P_t) - ln(P_{t-1})
   vector returns = np::diff(prices);

//--- --- Step 3: Base Model Configuration Setup ---
//--- Initialize core specification fields mapping onto the EGARCH container
   ArchParameters egarch_spec;
//--- Apply the scaling factor (multiplying by 100 scales returns to percentage form)
   egarch_spec.observations = ScaleFactor * returns;
   egarch_spec.vol_model_type = VOL_EGARCH;
   egarch_spec.garch_p = _P_;
   egarch_spec.garch_o = _O_;
   egarch_spec.garch_q = _Q_;
//--- --- Step 5: Model Initialization ---
//--- Instantiate the continuous tracking constant mean container wrapper
   ZeroMean egarch_model;
//--- Pass structural parameters down into the optimization initialization routine
   if(!egarch_model.initialize(egarch_spec))
      return;
//--- --- Step 6: Parameter Optimization (Fitting) ---
//--- Trigger the non-linear execution optimizer loop (SLSQP engine solver)
   ArchModelResult egarch_params = egarch_model.fit();
//--- --- Step 7: Optimization Convergence Guard ---
//--- Verify that the resulting parameters array size matches the model criteria configurations
   if(!egarch_params.params.Size())
     {
      Print("Convergence failed ", GetLastError());
      return;
     }
//--- Prepare output of model parameters
   string pnames = egarch_model.volatility().parameterNames();
   string vol_parameter_labels[];
//--- Organize parameter names into array for display
   int labels = StringSplit(pnames,StringGetCharacter(",",0),vol_parameter_labels);
//--- Check number of labels is equal to number of model parameters
   if(labels != int(egarch_params.params.Size()))
      return;
//--- --- Step 8: Results Output Extraction ---
//--- Print optimal target parameter solutions to the MT5 journal
   Print("EGARCH model parameters");
   PrintFormat("%10s %10s %10s","Name","Value","Pvalue");
//--- Extract statistical asymptotic standard deviation errors mapped out to individual p-values
   vector pv = egarch_params.pvalues();
   for(ulong i = 0; i < pv.Size(); ++i)
     {
      //--- Log individual calculated p-values step-by-step to evaluate structural significance
      PrintFormat("%10s %10.4f %10.4f",vol_parameter_labels[i], egarch_params.params[i],pv[i]);
     }
  }
//+------------------------------------------------------------------+