An analyst conducts a simple linear regression of a stock's monthly return against a market index's monthly return (both in percentage terms). The following data is gathered:

• Estimated slope: 1.0
• Estimated intercept: 1.2%
• Standard error of the forecast: 1.4%
• Critical t-values at a 5% significance level: ±2.032

Given a forecasted monthly return of 3.5% for the market index, the 95% prediction interval for the stock's monthly return is closest to: