Re: [Gretl-users] AR-GARCH-t MLE

Hello guys, on a last note. I had minor misspecifications in the ll function, so the right one for arma-garch is <hansl> mle ll = lngamma((dof + 1)/2) - lngamma(dof/2) - 0.5*log(dof-2) - 0.5*log(h) - 0.5*(dof + 1)*log(1 + (dof - 2)^(-1)*h^(-1)*e^2) </hansl> However, Im gettin into a problem (again!). The estimation does not converge. For some simpler specifications ( I mean simpler than ARMA(7,5)-GARCH(1,1)-t ) I was able to help the algo to converge by setting different parameter starting values. However, with this complicated model, even when I set the initial values equal to "true" values found by eviews, the algo still does not converge. Is there a way of finding out why this happens and/or tweaking the optimization algo?