Let's calculate the 1-day 99% VaR under both normal and lognormal assumptions. The critical value $z$ for 99% confidence is approximately $2.326$. Given:

• Daily expected return ($\mu$) = 0.00079365
• Daily standard deviation ($\sigma$) = 0.025198
• Portfolio Value ($W_0$) = $1,000,000

1. Normal 99% VaR at 1-day: $\text{VaR}_{\text{Normal}} = W_0 \times (z\sigma - \mu)$ $\text{VaR}_{\text{Normal}} = 1,000,000 \times (2.326 \times 0.025198 - 0.00079365)$ \text{VaR}_{\text{Normal}} = 1,000,000 \times (0.05861 - 0.00079365) = 1,000,000 \times 0.057816 = \`57`,816$

2. Lognormal 99% VaR at 1-day: $\text{VaR}_{\text{Lognormal}} = W_0 \times (1 - \exp(\mu - z\sigma))$ $\text{VaR}_{\text{Lognormal}} = 1,000,000 \times (1 - \exp(0.00079365 - 2.326 \times 0.025198))$ $\text{VaR}_{\text{Lognormal}} = 1,000,000 \times (1 - \exp(-0.057816))$ \text{VaR}_{\text{Lognormal}} = 1,000,000 \times (1 - 0.943823) = \`56`,177$

Difference: \text{Difference} = \text{VaR}_{\text{Normal}} - \text{VaR}_{\text{Lognormal}} = 57,816 - 56,177 = \`1,639 \approx \$1`,640$

Thus, the Normal 99% VaR is greater than the Lognormal 99% VaR by approximately $1640 at the 1-day holding period, making Statement C true.