VAR confidence level

[BldSwtTrs]

If we increase the confidence level, does the VAR estimate increase or decrease?

 

[CfaLad]

AFAIK it increases.
Edit - should state in absolute terms

 

[MrSmart]

Bigger CI = bigger SD

 

[Neryblop]

Yep state in absolute. Var is usually a negative number reported as a positive number in absolute terms. Lower confidence interval leads to higher absolute var.

 

[sharky7]

Neryblop wrote:
Yep state in absolute. Var is usually a negative number reported as a positive number in absolute terms. Lower confidence interval leads to higher absolute var.

Higher

 

[Neryblop]

whoops my bad i was thinking about significance level.
a 1% Significance will have a Higher Var than a 5% Significance level.
so lower Significance level = Higher Confidence Interval= higher absolute VAR.