Goku turned Super Saiyan 4 in the episode Back in the Game from the Dragon Ball GT series. The date the episode originally aired was January 22, 1997, although the American release date was May 29, 2004.
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In dragonball gt, the episode 34 near the end he transforms after controlling golden monkey.
He turns SSJ4 in GT not in Z. In GT he first first turns SSJ4 in the Baby saga but i don't exactly know which episode it was.
214 vegeta,s pride
He doesn't. Super Saiyan 5 doesn't exist.
its not a episode its a special and its only in Japanese In episode 129 in Dragonball, Goku goes back in time to seek Roshi. maybe that is what you are looking for :)
He gets trained in dragon ball gt. The first episode.
Episode 1, season 1