AGARCH + rugarch

Sentana (1995) actually worked out more thoroughly the details of this
model which he called quadratic ARCH (QGARCH).

This is not implemented in rugarch. For asymmetric response to shocks
try the GJR (gjrGARCH), TGARCH (model="fGARCH", submodel="TGARCH")
or NAGARCH (model="fGARCH", submodel="NAGARCH")...among others.
If you provide compelling evidence why this model merits inclusion I
will consider it.

Regards,

Alexios

Is it possible to implement the AGARCH [1] of Engle 90 using rugarch? The aparch models seem close, but don't allow for different powers of epsilon as far as I can see. 

Thanks, 
Michael

[1] I know GARCH terminology is a mess, so I'm using that given at public.econ.duke.edu/~boller/Papers/glossary_arch.pdf (P.2 in my case)

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