Hello, I'd like to post my problem here.
So, i noticed when i'm trying to do Gaussian blur on my oval shape that it gets cutted by some rectangle(but there's not rectangles above this layer). Here's picture of what i mean: http://prntscr.com/7v8jo8. Do you have any idea how i could fix this? Sorry for being noob at this and thanks in advance for your help!
Go onto Effects > Document Raster Effects Settings and change the "Add XXXXXXXmm around object" to be around 3x the pixels of the blur radius. So if your blur radius is 100 pixels, type 300px into that box (it will automatically change the value into mm). It will now no longer be clipped.