GMD

GMD is the model format used by Atlus in Persona 5 and Persona 4 Dancing All Night. Unlike RMD, which was previously used in the PS2 titles and developed by Renderware, GMD stores animations externally in GAP format. However, GAP files can sometimes be stored in GMD files on special occasions. Textures are stored in a headerless variant of DDS format.

Location
Most of Persona 5's models can be found in the Data.cpk (P5) file under \Model.

Persona 5 Model and Animation importer v0.8.1
TGE created a maxscript that's intended to be used with Autodesk 3dsmax 2016. It supports importing GMD meshes, rigging, materials, and even GAP animations. You can get it here.