To find the appropriate z_critical value for the VAR(1%), use the two-tailed value from the table correspondnig to an alpha level of 2%. Under a two-tailed test, half the alpha probability lies in the left tail and half in the right tail. Thus the z_critical 2.32 is appropriate for VAR(1%). For VAR(10%), the table gives the one-tail z_critical value of 1.28. Calculate the percent and dollar VAR measures as follows:

Thus, Statement I is correct and Statement II is incorrect. For Statement III, recall that as the probability in the lower tail decreases (i.e., from 10% to 6%), the VAR measure increases. Thus, Statement III is correct.