[size=12.000000pt]Consider the monthly simple returns of CRSP Decile 1, 2, 5, 9 and 10 portfolios based on themarket capitalization of NYSE/AMEX/NASDAQ. The data span is from January 1961 to September[size=12.000000pt]2011. [size=12.000000pt](Data file: m-dec125910-6111.txt)
[size=12.000000pt](a) For the return series of Decile 2 and Decile 10, test the null hypothesis that the first 12 lags of
                                        [size=12.000000pt]autocorrelations are zero at the 5% level. Draw your conclusion.
(b) Build an ARMA model for the return series of Decile 2. Perform model checking and write down
                                        [size=12.000000pt]the fitted model.
(c) Use the fitted ARMA model to produce 1 to 12-step ahead forecasts of the series and the
                                        [size=12.000000pt]associated standard errors of forecasts.



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