On Mon, 26 Mar 2012, Daniel Bencik wrote: > 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 > at 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_values.txt
Thanks for posting this info. If we're to check the results, however, we need access to the dataset you're using. Allin Cottrell
