Q2(1). Suppose that the change in the value of a portfolio over a one-day time period is normal with a mean of zero and a standard deviation of $2 million; what is (a) the one- day 97.5% VaR, (b) the five-day 97.5% VaR, and (c) the five-day 99% VaR? what difference does it make to your answer if there is first-order daily autocorrelation with a correlation parameter equal to 0.1