Data: https://faculty.chicagobooth.edu/-/media/faculty/ruey-s-tsay/teaching/fts3/m-deciles08.txt Consider the monthly si

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Data: https://faculty.chicagobooth.edu/-/medi ... iles08.txt
Consider the monthly simple returns of the Decile 1, Decile 2,Decile 9, and Decile 10 of NYSE/AMEX/NASDAQ based on marketcapitalization. The data span is from January 1970 to December2008, and the data are obtained from CRSP.(a) For the return series of Decile 2 and Decile 10, test the nullhypothesis that the first 12 lags of autocorrelations are zero atthe 5% level. Draw your conclusion.(b) Build an ARMA model for the return series of Decile 2. Performmodel checking and write down the fitted model.(c) Use the fitted ARMA model to produce 1- to 12-step-aheadforecasts of the series and the associated standard errors offorecasts.