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In econometrics, if you have access to high-frequency (HF) data, then the realised variance approach works better than simply computing the standard deviation. The reason is that you use much more data and thus can utilise the additional information HF data carries, thus RV typically performs better than, say, GARCH models and a plain standard deviation. ...


Since you have (exactly) the same long and short position in (exactly) the same asset, your portfolio is perfectly hedged, what means VaR is equal to zero. There is actually no room for VaR consideration :)

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