Again, consider the returns in m-gmsp5008.txt.

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

(b) Is there a summer effect on the volatility of the index return? Use the GARCH model built in part (a) to answer this question.

(c) 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.