I'm testing a model to estimate the VaR of a portfolio with different stocks. I used 1500 data to estimate some parameters, and now I have other 1500 data for backtesting purposes (for a total of 3000 data on return series).
The model slightly underestimates VaR, i.e. the number of violations exceeds a bit the expected number of violations.
However, if I split the 1500-days testing window in two 750-days periods, I get moderate violations in the first testing period (which spans approximately from 2007 to 2009) and a 'perfect performance' in the second 750-days period (number of violations matches the expected number of violations almost exactly). Therefore, I wanted to consider this splitting procedure in order to highlight the model's advantages and drawbacks in volatile vs. more stable times (performing unconditional and conditional coverage tests separately for two periods).
Question: Are there problems related to the idea of splitting the testing window in two consecutive periods? More precisely:
- Is it okay to consider period 1 from $T$ to $T+749$ and period 2 from $T+750$ to $T+1499$?
- Or is it better to allow for "some space", i.e. consider non-immediately consecutive periods, such as from $T$ to $T+499$ for period 1 and then from $T+750$ to $T+1249$ for period 2 (with 500 data each)?
I guess my question is: are there any issues related to "independence" between consecutive testing windows, or can I continue with my approach of two consecutive periods?