If X∼Normal(μ,σ2)X \sim \text{Normal}(\mu, \sigma^2)X∼Normal(μ,σ2), what is Var(X2)Var(X^2)Var(X2)?
2σ42\sigma^42σ4
4μ2σ2+2σ44\mu^2\sigma^2 + 2\sigma^44μ2σ2+2σ4
σ4\sigma^4σ4
2μ2σ22\mu^2\sigma^22μ2σ2