The data file share.dat contains time-series data on the Straits Times share price index of Singapore.

(a) Compute the time series of returns using the formula rt ¼ 100 lnðyt=yt1Þ, where yt is the share price index. Generate the correlogram of returns up to at least order 12, since the frequency of the data is monthly. Is there evidence of autocorrelation? If so, it indicates the presence of significant lagged mean effects.

(b) Square the returns and generate the correlogram of squared returns. Is there evidence of significant lagged effects? If so, it indicates the presence of significant lagged variance effects.