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Which of the following statements is/are accurate? The autoregressive moving average (ARMA) process forms an important part of time series analysis since it: I. Captures a very robust picture of the variable being estimated thanks to the exclusion of lagged random shocks and lagged observations II. Combines the lagged unobservable random shock characteristic of the MA process with the observed lagged time series characteristic of the AR process III. Involves gradually-decaying autocorrelations Which of the following is (are) not (an) assumption(s) of the capital pricing model? I. Investors require higher returns as a pre-condition for higher risks II. All investors have the same one-period time horizon III. CAPM considers taxes but does not consider transaction costs IV. Investors' only concern should be a systematic risk A II only An investment bank decided to open a position in the shares of ALNY's stock. The position will be opened by buying 5,000 out-of-the-money call options with a strike price of USD 350. At the moment, the stock is trading at USD 300. The annual volatility of the stock's return is 30%, and the delta of the option is 0.3 . What is the daily VaR for this position at a 1% significance level, assuming 252 trading days in a year