first off, thank you all for suggestions.
Riccardo, I know that anything bigger than arma(2,1) is going to be a crappy
model. Im forecating volatility and arma is one of the options, the obviously
sloppy one but nevertheless the benchmark and I can prove nowehere else than
on out of sample that its great fit is just an illusion. That's actually the
point...
So, the ARMA(6,5)-GARCH(1,1) model with T-distributed residuals in Eviews
gives estimates which are to be seen
atÂ
http://eubie.sweb.cz/gretl_forum/Eviews_estimation.PNG
When I plug in the very same numbers as initial values into my gretl code, I
get convergence, however, I arrive at different estimates, see
http://eubie.sweb.cz/gretl_forum/gretl_forum_correct_starting_values.txt
When I however change those starting values just a little bit (namely ga, arc
and dof by as little as 0.05), convergence is gone, see
http://eubie.sweb.cz/gretl_forum/gretl_forum_slightly_incorrect_starting_...
Thanks for posting this info. If we're to check the results,
however, we need access to the dataset you're using.
Allin Cottrell