I am am trying to calculate VaR
using the Historical Simulation method for the S&P500
. I used the PerformanceAnalytics package with
VaR(P1[1:1000], p =0.95, method = "historical")
but I get an error message as below:
VaR calculation produces unreliable result (risk over 100%) for column: 1 : -1.68435909175
The data that I have used is log returns calculated as =LN(Today's close/Yesterday's close)*100
and when I calculate the VaR
using the percentile
function(PERCENTILE(B2:B1001,0.05)
), I get the value of -1.684
as above. I understand that the package was written with returns in mind but I am not sure if I have conceptually made a mistake with my calculation or the error is due to me using log returns.
In this case, would it be better to use normal returns over log returns?