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I have a quick question about this remark in Tsay's book "Analysis of Financial Time Series" (3rd edition).

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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

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Thanks for your help!

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I think you are right. What he calls the approximation is the correct amount, the other is an approximation.

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