rugarch: Joint estimation leads to different results

I want to fit an ARMA-GARCH model to my data using rugarch package in R.

First of all, I look at the acf and pacf:

install.packages("forecast")
library(forecast)
par(mfrow=c(2,1))
Acf(mydata,main="ACF",cex.axis=1.2,cex.lab=1.2,ci.type="ma")
Acf(mydata,type="partial",main="PACF",cex.axis=1.2,cex.lab=1.2)


this gives the following images:

As you can see, the first, second and third lag are not significant. The 4th and the 5th are significant. I decided to use two models for my mean equation: no model (since the intercept is not significant, I checked this) and a modified ARMA(5,5), where the ar1, ar2, ar3, ma1, ma2, mar3 coefficients and the mean are fixed to zero.

Let's consider only the second model. I estimate the model via

library(lmtest)
mymodel<-arima(mydata, order=c(5,0,5),include.mean=FALSE,fixed=c(0,0,0,NA,NA,0,0,0,NA,NA))


which gives the output

I get the p-values via

coeftest(mymodel)


which shows, that all coeff are highly significant.

Now I look at the residuals: