Assuming a portfolio's daily return follows the following model with the

parameters:

$r_t=+{}_t$

where $r$ is the daily return, $$ is the drift, ${}_t$ together forms the return volatility,

and ${}_t$ follows standard normal distribution. We set $=0\mathrm{.}05$ and $=0\mathrm{.}1.$

What is the $10-$day Monte Carlo VaR $($expressed in return$)$ at the $1\%$ significance

level $($number of simulations $=1000).$