If returns are not independent and follow an autoregressive process such as $R_t=R_{t-1}+u_t,$ write

down the expression for the variance of two day returns and show that the VaR is given by

$VA{R}_2=(\sqrt[\phantom{2}]{2(1+)})W=[VA{R}_1\sqrt[\phantom{2}]{2}]\sqrt[\phantom{2}]{(1+)}$