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If returns are independently and identically distributed, then VaR10-day=VaR1-day×10=316,000,000\text{VaR}_{10\text{-day}} = \text{VaR}_{1\text{-day}} \times \sqrt{10} = 316,000,000VaR10-day=VaR1-day×10=316,000,000
A
The 10-day VaR is approximately $316 million
$316
B
The 10-day VaR is approximately $100 million
$100
C
The 10-day VaR is approximately $1 billion
$1
D
The 10-day VaR cannot be calculated from 1-day VaR
