STATA GARCH convergence problems

#1
I’m trying to run a GARCH model explaining the volatility of exchange rates with multiplicative heteroskedasticity, i.e. several explanatory variables included in the variance equation. For some reason, Stata is not able to find convergence and the but keeps on iterating. I know Stata has a very stringent definition of convergence and that Stata does not stop iterating and declare convergence simply because the coefficients are not changing or because the likelihood is not changing.

My question is: if I prematurely terminate the iterations when the log likelihood does not change (and I have checked that the coefficients does not change either) although convergence is not achieved, can I still use the coefficients generated by the GARCH model to interpret the results?

I use the following Stata (9.2) command for the GARCH model:
• Arch delta_ln_exrate x y z, het( x y z) arch(1) garch(1)

But I’ve also tried to add on options such as “difficult” and different priming methods, but I still cannot get convergence. This is how the iterations look and the message I get:

BFGS stepping has contracted, resetting BFGS Hessian (7)
Iteration 82: log likelihood = 4273.5872 (backed up)
flat or discontinuous region encountered
numerical derivatives are approximate

Thankful for all the help I can get!