Hello Sven,

And thank you fore the response. I just used the OPG option and still I get this:
screenshot_1898.jpg


Still no convergence.
​


On Thu, Jun 21, 2018 at 3:24 PM Sven Schreiber <svetosch@gmx.net> wrote:
Am 21.06.2018 um 12:52 schrieb Periklis Gogas:

And using Eviews with exactly the same specification and data I get this:
I don't have an explanation (not knowing very well what happens inside the Garch or gig/GARCH routines), but it is not strictly true that it is the same specification: In gretl you used the default "sandwich" for the VCV, and Eviews says "outer product of gradients". You could try to use OPG in gretl as well and tell us what happens.

It would certainly be interesting whether Eviews gets it right, or just gets "something".

cheers,
sven
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