VaR calculation, we need to calculate the time series of historical realised return. There are mainly 2 ways to calculate such returns viz.
Absolute return (i.e. just the difference between levels of consecutive time series data points) and
Relative return (i.e. Percentage return)
Let we calculate these two return for the time series of interest rate (assuming all are non-negative). In an article, I found one statement stating that:
In a falling interest rate environment, Absolute returns are more conservative.
I could not understand this statement, what could Author mean to say as
Any pointer will be very appreciated.