c$)$ NB$$s current portfolio consists:

$$ A futures contract with a value of K$2$ million or $8\mathrm{.}7\%$ of the portfolio$$s total

value;

$$ An option contract with a market value of the bond is K$17$ million, which is

$73\mathrm{.}9\%$ of the portfolio$$s total value; and

$10,000$ shares of a stock that are worth K$4$ million or $17\mathrm{.}4\%$ of the portfolio$$s

total value.

Given the following variance$-$covariance matrix:

Futures Option Stock

Futures $0\mathrm{.}00090-0\mathrm{.}0000800\mathrm{.}00007$

Option $0\mathrm{.}000400-0\mathrm{.}00010$

Stock $0\mathrm{.}00300$

CALCULATE:

i$.$ The daily VAR at $5\%$ level of significance. $(5$ Marks$)$

ii$.$ The daily VAR at $1\%$ level of significance. $(5$ Marks$)$

iii. The monthly VAR at $5\%$ level of significance.