I am trying to calculate a historical VaR, let's say on a forward contract of Gas that has a delivery in December 2022 ( begin delivery = 1st December 2022 and end delivery = 31st December 2022). Having calculated all my returns for the last 250 trading days, I want to know which return I will apply to my current position ? For me, it seems to be two obvious solutions :
- Relative return : it means that knowing that as of today, December is 4 months away, for each return date, I will consider the M+4 return.
- Absolute return : it means that, for each return date, I will apply the return computed for December 2022 forward contracts.
Thank you for your help.