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VAR10-day=VAR2-day×102=5.59\text{VAR}_{10\text{-day}} = \text{VAR}_{2\text{-day}} \times \frac{\sqrt{10}}{\sqrt{2}} = 5.59VAR10-day=VAR2-day×210=5.59
A
The 10-day VaR is approximately 5.59 times the 2-day VaR
B
The 10-day VaR is approximately 2.24 times the 2-day VaR
C
The 10-day VaR is approximately 5 times the 2-day VaR
D
The 10-day VaR is approximately 7.07 times the 2-day VaR
