In order to model EGARCH/TGARCH, you will need to install install several

things
I assume that R and Rmetrics packages on your system have been installed.

1. Download and install Ox Console:

- Address: " http://www.doornik.com/download.html#oxcons "

- Click: Download Ox Console (all platforms)

"The Console version of Ox may be used without paying a fee for academic
research, study and teaching purposes only!"

- Fill in the information and agree to the terms.

- Check your email after a couple minutes, find link at bottom of message that
looks like
===========================================================
*** For Ox Console downloads (all platforms), go to :
http://www.doornik.com/download/..../....
===========================================================

The current version of Ox Console is 5.10 for Windows 2000/NT/9x. Now choose a
download site (you can use right-click to save to installation file):
Install 'oxcons510.exe' use the default directory C:\Program Files\OxMetr..
Finally copy the subdirectory 'Ox' to 'C:\'

2. You need a special G@RCH package. Despite the availability of the version
6, we will use the older 4.2
since the new one does not seem to work produce correct results. As a first
step, create a new directory(folder) on your PC: C:\Ox\Packages
[The subdirectory "packages" may exist already. In this case, you do not need
to create one.]
Put the file "Garchv42.zip" in it and unzip it into "C:\Ox\Packages"

####################################
3. Installation of the interface:
The interface file is GarchOxModelling_w.ox and can be downloaded from my
website
Copy this file to "C:\Ox\lib".

####################################
4. Place the function code garchoxfit_R_w.txt in your R work folder with
personal functions/libraries; you will have to access this file from within R

####################################
5) Using garchOxFit function in R:

Begin each R session with the following commands after changing your working
directory:

library(timeSeries) ## This is the new version of fSeries which is now

obsolete
source("garchoxfit_R_w.txt") ## this is why the file you downloaded has to
be accessible from within current session

The function usage is:

> garchOxFit
function (formula.mean = ~arma(0, 0), formula.var = ~garch(1,
1), series = x, cond.dist = c("gaussian", "t", "ged", "skewed-t"),
include.mean = TRUE, truncation = 100, trace = TRUE, title = NULL,
description = NULL,arch.in.mean=0)

For information on package 'timeSeries':

library(help="timeSeries")

######################################
### NOW back to the modeling
## Very important: A GARCH(r,m) model in the textbook and S-Plus is called a
GARCH(m, r) model in R.
## In other words, ARCH order is the 2nd argument in R.
## For example in the statement bellow: formula.var=~garch(0,4) specifies
that there are 4 terms in r_t (or a_t in the book) -- this is an ARCH(4) model
## The logic in R is the following: formula.var=~garch(m,r) specifies a formul
for variance. The first argument refers to itself (variance) and the second to
another argument (returns)

m1=garchOxFit(formula.mean=~arma(0,0),formula.var=~garch(0,5),series=intel.ret
urns)

m2=garchOxFit(formula.mean=~arma(0,0),formula.var=~garch(0,18),series=intel.re
turns) ## Why 5 and 11? recall the pacf(retuns^2) plot

m3=garchOxFit(formula.mean=~arma(0,0),formula.var=~garch(0,33),series=intel.re
turns) ## Why 5 and 11? recall the pacf(retuns^2) plot