2. Consider the following GARCH (1,1) model estimated for S\&P500 daily returns data. Dependent Variable: SP500 Method: ML - ARCH (Marquardt) Date: 03/17108 Time: 11:13 Sample(adjusted): 1/02/1996 2/14/2006 Included observations: 2841 after adjusting endpoints Convergence achieved after 12 iterations Variance backcast: ON a. The last return in the sample is -.0044 and the value of h associated with the last observation in the sample is .000032 . Write the one-step ahead forecast of the variance for time T+1 (i.e. one-step ahead out of sample forecast). b. If returns are conditionally Normal, find the one day ahead, 1% Value at Risk on a million dollar investment in the S\&P500 using the forecast from part a. Recall Pr(Z