I have a quick question about this remark in Tsay's book "Analysis of Financial Time Series" (3rd edition).
He says that $$ \text{dollar VaR} = \text{Value} \times \text{log return VaR} $$ and that $$ \text{Value} \times [\exp(\text{log return VaR}) - 1] $$ is an approximation to that.
Based on how quantiles transform, it seems to me that it should be the other way around!
Eq (7.1) for completeness
Thanks for your help!