8 c.

Suppose the value of a portfolio over a 30-day period is log-normally distributed so that the 30-day log-return has mean 1.274% and standard deviation 8.601%. For a standard normal random variable with zero mean and unit variance, the probability that z is less than or equal to -1.645 is approximately 5%. What is the 30-day 5% VaR of the portfolio, expressed as log-returns?

What is the 60-day 5% VaR?