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This study examined the squared returns and absolute returns of KOSPI 200 with GPH (Geweke and Porter-Hudak, 1983) estimators. GPH was estimated by the long-term memory preserving time series parameter d inlinear regression. This called the GPH estimator, which depends on a bandwidth m. m was decided by confirmingthe stable section of the point estimate by validating the track of the GPH estimator according to the value of m. The result suggests that by satisfying 0< d <0.5, the squared returns and absolute returns of KOPI 200 retains long-term memory.Key Words : GPH, KOSPI200, Long-term memory, Volatility * Corresponding Author : Sang-Kyu Choi(Sungkyunkwan Univ.) Tel: +82-2-760-0447 email: sksmile@skku.eduReceived October 29, 2014 Revised (1st November 21, 2014, 2nd November 26, 2014) Accepted December 11, 2014 1.       .                    .        1990   .      .  ․        [1-4],        [5-9].               ,      .            .                 .      [10,11]         [12-15].       .    [13,14]

Empirical Study of the Long-Term Memory Effect of the KOSPI200 Earning rate volatility