I am using variance co variance matrix for calculating the VaR. Now if the some corporate action comes in between like stock split, resulting a huge VaR number on that particular day as the volatility will drop by huge amount.
For instance, if a stock price series is $\$10, \$10.25, \$10.28, \$10.54, \$10.98, \$11.65, \$11.65$ and so on for the last 1 year and suddenly the stock split comes in between and the prices drops to around $\$5$, resulting in huge volatility and thus impacting my VaR number. How to adjust this as to my VaR numbers looks in synchronization?
Thanks in advance.