VAR (Historical Simulation)

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想討論如果用HISTORICAL SIMULATION 來計VAR, 那公司如果派DIVIDEND,需要ADJUSTED DIVIDEND in price time series on the effective date?
因為dividend好像不需要adjust....因為market cap 好像小了...
但不adjust 就會有spike...
請求教
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关键词：Simulation historical historic ulation ATION effective adjust market price

i believe u should adjust... the question is how?

if we adjust the dividend in the historical prices, like either put a factor/or extract the data from Bloomberg with the dividend adjustment. Although times series get smoothed, the Var would get smaller? As the value of the company get smaller?