511.3. Let's define liquidity-adjusted value at risk (VaR) for a position that can be liquidated over (T) days as given by:

$$\text{VaR}_t \left( \alpha, \frac{1}{252} \right)(X) \times \sqrt{\frac{(1+T)(1+2T)}{6T}}$$

Let’s assume an equity position with a value of one million dollars ($1,000,000) and a volatility of 34.0% per annum. If there are 250 trading days in a year and returns are normal i.i.d., which is nearest to the 99.0% liquidity-adjusted VaR if we estimate the position will require five (5) trading days to liquidate?