Semi-parametric estimators for non-Gaussian GARCH processes based on Feasible Weighted Least Squares (FWLS) are proposed. The estimators are consistent and do not require the specification of the innovations distribution family. The FWLS estimators incorporate information related to the skewness...

Regulatory capital requirements for market risk, also known as the Fundamental Review of the Trading Book (FRTB), were disclosed by the Basel Committee on January 2016. This major overhaul of the Basel 2.5 framework challenges risk model specification and backtesting. Given the prevalence of...