This is the answer. Can you please provide step by step calculation and what equations are being used.

12.6 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 ? 12.6(a)21.96=$3.92million,(b)521.96=$8.77million,(c)522.33=10.40million