A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments

In this paper, by considering a model-based approach for conditional moment estimation, nonparametric test was performed to study the long-memory property of higher moments. We considered daily returns stocks included in S&P500 index last ten years (for period running from 1st January 2011 2021). found that mean and skewness were characterized short memory, while variance shape had long memory. These results have deep implications terms asset allocation, option pricing market efficiency evaluation.