Fatemeh Irani Kermani - Lecturer, Faculty of Management and Economic, Shahid Bahonar University of Kerman
Shahram Golestani - Assistant professor, Faculty of Management and Economic, Shahid Bahonar University of Kerman
Fatemeh Abbasi - MSc in energy economics
Mahboubeh Ghasemi - MSc in energy economics

Despite expansive studies which have been conducted in the past few decades, especially since the mid-1970s, on the global oil price, there have been few works on the price of natural Gas and its prediction. During the past decades, researchers have always considered natural gas as a secondary by-product of oil which has been extracted and traded beside it. Over the past few years, natural gas has gained particular importance in the energy market; however, few studies have been conducted on this product thus far.Therefore, in this article, the existence of long-term memory in global markets was studied. For this purpose, time series of monthly data from June 1976 to February 2012 was used and an ARFIMA-GARCH model was employed for estimation and prediction. Fractional integration parameter was estimated using Hurst exponent.The results showed that gas price had long-term memory and the shocks in the gas market would result in volatility in gas price; volatility in each period depends on the volatility of the previous periods

long-term memory, global markets, ARFIMA-GARCH model