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Stage 1) Denial: When Phil talks to the man outside is room, he is confused about having the same conversation from the day before. He then lies and says he thought he did this yesterday. He is in denial at this point because he is making up a reality that is not true, in which he thought he had the wrong date, which was not true.
Stage 2) Anger: Phil shows his anger around the close of the movie when he slams the alarm clock to the ground to shut it off. At this point Phil as lived many years in the same day and does not want to hear the radio broadcast from the (first) day.
The fifth and final stage is Acceptance: Phil finally accepts his fate and takes advantage of this. Throughout the movie, Phil learns everything there is to learn about the town of Punxsutawney, he learns everybody's name, the story and more. He also takes piano lessons, learns to carve ice, and he finally wins the girl over. By accepting that he would be stuck, he could take advantage of it and learn things that would and could take years to master.
Stage 3) Bargaining: Phil bargains Rita to just give him a chance. Well several chances, because she said yes, he fell in love with her. It is though that she did not love him, until the (last) day.
Stage 4) Depression: Phil goes through several days where he kills himself. Phil is doing whatever he can to break the time loop. Towards the end of the movie, the audience can see that he is just done with being stuck in Groundhog Day. So he does what any other person may do to end something, by taking his life(s). This attempt does not work and he still wakes up every day at 6:00 am.
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Grief comes in many forms, most of us will experience them in a lifetime not in one day.