I calculate the 20-day returns of (rolling window) of historical stock prices of 2 years. Are there any problems (like autocorrelation) when I want to backtest the VaR (Value-at-Risk) model?

  • $\begingroup$ This is not a major issue AFAIK. There is a lot written on backtesting VaR value-at-risk.net/motivation-backtesting and you should look at it before inventing your own tests. $\endgroup$
    – noob2
    Jun 14 at 18:29

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