When we are calculating the parametric VaR for a Bond we use the volatility of the Yield and the DV01. My confussion is about the volatility of the Yield, should I use the standard deviation of the Yield or the standard deviation of the daily % change in the yield. If i use the daily % change then how can I multiply it by the DV01 and the Z value to obtain the VaR.

Thanks,

José