Q.4004 To retrieve the value at risk (VaR) for the U.S stock market under the generalized extreme-value (GEV) distribution, a risk analyst uses the following somewhat "realistic" parameters:

• Location, $\mu = 4.0\%$
• Scale, $\sigma = 0.80$
• Tail index, $\xi = 0.5$

If the sample size, $n = 100$, then which is nearest to the implied 99.90% VaR?