Interactive Brokers provides a useful function for risk management. It can generate a VaR report under Account Management using historical method and variance-covariance method. Anyone knows how the VaR is calculated? At least, it will be helpful to know what data is used for the calculation. My guess is end-of-day price data is used. However, I have no idea how many days of price data is being used. Another thing I observe is that VaR from historical method is always higher than variance-covariance method. My portfolio consist fully of stocks with no short positions and it is well diversified with > 50 stocks.
You can find standard VaR method in Hull. What IB uses is probably a more conservative version and maybe with shock periods included.