As far as I know, a new R packages called "fEGarch" was published on CRAN about one month agao, with this package you can fit FIAPARCH, FIEGARCH as well as longmemory extensions of the TGARCHand GJR-GARCH. Moreover, rolloing forecating and backatesting of VaR (value at risk) and ES (expected shortfall) can be carried out easily. Additionally, you can also carry out rolloing forecating and backatesting of VaR (value at risk) and ES (expected shortfall) for any other extenal models by inputing the corresponding results obtained outside the fEGarch package.

YF