Question: Again, consider the file m-gmsp5099.dat. - Build a Gaussian GARCH model for the monthly log returns of S&P 500 index. Check the model carefully. -

Again, consider the file "m-gmsp5099.dat."

- Build a Gaussian GARCH model for the monthly log returns of S\&P 500 index. Check the model carefully.

- Is there a Summer effect on the volatility of the index return? Use the GARCH model built in part

(a) to answer this question.

- Are lagged returns of GM stock useful in modeling the index volatility? Again, use the GARCH model of part

(a) as a baseline model for comparison.

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