GMD

GMD is the model format used by Atlus in Persona 5 and subsequent titles, such as Persona 4 Dancing All Night and it's successors (Persona 3 Dancing Moon Night and Persona 5 Dancing Star 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 certain occasions. Textures are embedded into the GMD file as 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
TGE created a maxscript that's intended to be used with Autodesk 3dsMax. It supports importing GMD meshes, rigging, materials, and even GAP animations. You can get it here. It currently does not support all animations or models with embedded EPLs used for particle effects. Skinning information may not always be perfectly retained and models may require manual tweaking.

GFD Studio
GFD Studio (formerly known as AtlusGfdEditor) is a tool for viewing and converting skinned models to GMD format. Rigging and mesh/texture conversion is currently possible, as well as manipulation of material properties. GAP files are also supported, so you can import, export, replace and re-arrange animations within them. You can download the latest build here.