Parametric Value at Risk (VaR) Calculator

At 95% confidence, the daily loss will not exceed the VaR amount on 95% of trading days, or roughly 1 in 20 days on average.

It assumes normally distributed returns, which underestimates tail risk (fat tails). Historical simulation or Monte Carlo methods capture tail risk better.

Under the assumption of i.i.d. daily returns, variance scales linearly with time, so standard deviation scales with the square root of the holding period.