Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in...

The purpose of this paper is to examine the issue of long memory stock returns of emerging markets. The study carries out a biased reduced semi parametric test to detect long memory in mean process. The results suggest no strong evidence of long memory in mean process of stock returns both in...