VAR confidence level

CFA Level III
#1

If we increase the confidence level, does the VAR estimate increase or decrease?

#2

AFAIK it increases.

Edit - should state in absolute terms

#3

Bigger CI = bigger SD

#4

Yep state in absolute. Var is usually a negative number reported as a positive number in absolute terms. Lower confidence interval leads to higher absolute var.

#5

Higher

#6

whoops my bad i was thinking about significance level.

a 1% Significance will have a Higher Var than a 5% Significance level.

so lower Significance level = Higher Confidence Interval= higher absolute VAR.