RiskMetrics assumes zero mean for the calculation of value at risk (https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a)
In our data, the mean return is quite negative. Is there an alternative approach we can use to calculate VaR? The negative returns are due to the crisis period, while there is a reverse in the trend lately with returns being positive. Is there a way to include this new trend in our calculations in order to get a better result from the one that classic VaR would get?