A pension fund has an equity portfolio that is worth $68,500,000 based on the yesterday's closing prices in New York Stock Exchange (NYSE). The portfolio consists of U.S. stocks quoted in NYSE and its market beta is 0.75. S&P 500 index is currently at 3425 and the contract size for S&P 500 futures is 250 times the futures index number. the futures contracts on S&P 500 index for which the bid and ask quotes given below bid ask highest lowest latest volume SPZ20 SPH21 SPM21 3407.00 3398.00 3382.00 3408.00 3400.00 3386.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Expiration date 2020-12-18 2021-03-19 2021-06-18 0 0 0 Open interest 0 0 0 Settlement price 0 0 0 a) Estimate the 3-day 99% VaR for the portfolio assuming that its annual volatility calculated on the basis of weekly returns from the most recent 1-year time window is 31.75%. A pension fund has an equity portfolio that is worth $68,500,000 based on the yesterday's closing prices in New York Stock Exchange (NYSE). The portfolio consists of U.S. stocks quoted in NYSE and its market beta is 0.75. S&P 500 index is currently at 3425 and the contract size for S&P 500 futures is 250 times the futures index number. the futures contracts on S&P 500 index for which the bid and ask quotes given below bid ask highest lowest latest volume SPZ20 SPH21 SPM21 3407.00 3398.00 3382.00 3408.00 3400.00 3386.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Expiration date 2020-12-18 2021-03-19 2021-06-18 0 0 0 Open interest 0 0 0 Settlement price 0 0 0 a) Estimate the 3-day 99% VaR for the portfolio assuming that its annual volatility calculated on the basis of weekly returns from the most recent 1-year time window is 31.75%