Question: Consider the daily simple returns of the S&P composite index in the file d-gmsp9908.txt. (a) Is there any ARCH effect in the simple return series?

Consider the daily simple returns of the S&P composite index in the file d-gmsp9908.txt.

(a) Is there any ARCH effect in the simple return series? Use 10 lags of the squared returns and \(5 \%\) significance level to perform the test.

(b) Build an adequate GARCH model for the simple return series.

(c) Compute 1-step- to 4-step-ahead forecasts of the simple return and its volatility based on the fitted model.

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