An historical VaR measure is parameterized in terms of the confidence level and also number of periods. Specifically, the $\alpha$% T-period VaR is defined as the portfolio loss x in market value over time T that is not expected to be exceeded with probability (1 - $ \alpha$).
I am looking for empirical backtesting research on the choice of T-period and $\alpha$% for producing stock portfolios. Usually this backtest research involves looking at the # of "exceptions" (violations of the predicted risk), convergence tests, the Kupiec, and Kupier test, or involves looking at the realized risk of a portfolio constructed to minimize the VaR measure.
An illustrative example of this research is here -- however, this study involves the Greek equity market and the sample consists of only 5 equities and my focus market is U.S. equity portfolios consisting of say 25+ securities for 3-month to 1-year holding periods. Another VaR study covering the Forex market is here.
