To cite qgarch, please cite the paper and the package:

Bialkowski J, Hong S, Wagner M (2025). “Is no news still good news? Volatility feedback revisited.” Pacific-Basin Finance Journal, 91, 102708. doi:10.1016/j.pacfin.2025.102708.

Bialkowski J, Hong S, Wagner M (2026). qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback. R package version 0.1.0, https://github.com/sho-125/qgarch.

Corresponding BibTeX entries:

  @Article{,
    title = {Is no news still good news? Volatility feedback
      revisited},
    author = {Jedrzej Bialkowski and Sanghyun Hong and Moritz Wagner},
    year = {2025},
    journal = {Pacific-Basin Finance Journal},
    volume = {91},
    pages = {102708},
    doi = {10.1016/j.pacfin.2025.102708},
  }

  @Manual{,
    title = {qgarch: Quadratic GARCH-in-Mean Models for Volatility
      Feedback},
    author = {Jedrzej Bialkowski and Sanghyun Hong and Moritz Wagner},
    year = {2026},
    note = {R package version 0.1.0},
    url = {https://github.com/sho-125/qgarch},
  }