For volatily modeling, the standard GARCH(1,1) model can be estimated with the garch() function in the tseries package. Rmetrics (see below) contains the fGarch package which has additional models. The bayesGARCH can perform Bayesian estimation of a GARCH(1,1) model with Student's t innovations. For multivariate models, the ccgarch package can estimate (multivariate) Conditional Correlation GARCH models whereas the gogarch package provides functions for generalized orthogonal GARCH models.
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From:
http://cran.r-project.org/web/views/Finance.html
