Abstract
Long range
memory in share indices show temporal dependence between observations spaced by
long intervals of time and has distinct non-periodic cycles. This paper
examines the presence of long memory of various indices of National Stock
Exchange (NSE). The data consists of closing values of indices over different
periods of time. The tests applied to examine long memory are Hurst exponent,
Manderbolt-Hurst exponent, Lo’s rescaled-range analysis and Geweke and
Porter-Hudak (GPH) test. The results of the estimated Hurst exponent,
Manderbolt-Hurst exponent and GPH test show that invariably all NSE indices
series have long memory. However, the results of Lo’s rescaled-range analysis
indicate the absence of long memory for all indices. Key words: Long memory,
rescaled range analysis, fractional dimension, Hurst exponent, GPH test, NSE
indices
