The 1-day 97.5% VaR of a portfolio of domestic shares is estimated to be $15 million from historical simulations using 500 observed daily returns. The sample mean and sample standard deviation of the simulated losses are $0 and $5 million, respectively. What is 99% confidence interval for the 1-day 97.5% VaR (in millions)?

a.

(5.3, 35.3)

b.

(11.6, 18.4)

c.

(8.3, 11.3)

d.

(13.5, 16.5)