# Do stationary prices need to be differenced for VaR?

I have a time series of electricity futures prices that I have shown to be stationary via the Augmented Dickey Fuller test (alpha = 0.05). Does that mean that, in calculating their individual values-at-risk, I can just simulate a set of prices based on the distribution that best fits them -- and then report the nth percentile on those simulations? In other words: is essentially a one-step simulation the same thing as an n-step simulation when directly modeling a stationary underlying?

Thank you.

Regarding your last question: if you only care about one point in time, then you can just simulate that one point in time. If you care about multiple points in time, however, you cannot pull all of them from the same distribution -- since prices tend to be strongly mean reverting. That would make your $$n$$ samples negatively serially correlated.