Jendela backtest bergeser — zona lalu-lintas Basel
Total hari backtest T
250
Confidence level VaR (%)
99,0
Volatilitas pasar (jendela)
sedang
Tenang (rendah viol)
Sedang
Krisis (volatility clustering)
Model VaR
EWMA
Historis
EWMA (reaktif)
GARCH (adaptif)
Normal statis
Reset
Violation count per jendela 250-hari — batas zona Basel