# central limit theorem and VAR

If I have a lot of data points and number of different dependent variables, can I use central limit theorem to assume data is multivariate normal and compute my VAR? Is this the appropriate use of central limit theorem for VAR calculation?

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If you are not taking a mean of many values (with finite variance) then the central limit theorem does not apply. To calculate VaR anyway you can start taking the empirical quantile or use more sophisticated estimators, as the other answer mentioned.

Sorry but it's not clear to me the role of those different dependent variables.

PS: please distinguish between VaR (Value at Risk) and VAR (vector autoregression)

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