The original paper by Nelson (1991) should be a starting point.

The rgarch package (on r-forge) has an implementation of the EGARCH model.

A benchmark is also available here : http://www.stanford.edu/~clint/bench/
(search for egarch.tsp for result file) and by running 
ugarchbench(benchmark = "published") in the rgarch package.

-Alexios Ghalanos

On 12/30/2009 6:28 PM, Ibhar wrote:
> Hi.
> I´m searching papers about EGARCH and if it´s possible implementation of
> EGARCH with R.
> i´ll be glad if you can help me.
> Thanks
>
>    
>
>
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