According to the Extreme Value Theory, the formula to calculate Value at Risk (VaR) utilizing the Generalized Extreme Value (GEV) distribution is: $VaR_p = \mu - \frac{\sigma}{\xi} \left[ 1 - (-n \ln(p))^{-\xi} \right]$

For the 95% VaR (where $p = 0.95$): $VaR_{0.95} = 2 - \frac{0.6}{0.4} \left[ 1 - (-100 \ln(0.95))^{-0.4} \right]$ $= 2 - 1.5 \left[ 1 - (5.1293)^{-0.4} \right]$ $= 2 - 1.5 \left[ 1 - 0.5186 \right] = 2 - 1.5 \times 0.4814 = 2 - 0.722 = 1.278 \approx 1.28$

For the 99.5% VaR (where $p = 0.995$): $VaR_{0.995} = 2 - \frac{0.6}{0.4} \left[ 1 - (-100 \ln(0.995))^{-0.4} \right]$ $= 2 - 1.5 \left[ 1 - (0.50125)^{-0.4} \right]$ $= 2 - 1.5 \left[ 1 - 1.3188 \right] = 2 - 1.5 \times (-0.3188) = 2 + 0.4782 = 2.4782 \approx 2.477$