I have no knowledge of OCaml, so I can't tell you how OCaml handles the implementation, but I can give you a general idea.
Theoretically seen you can have an endless list with just one element, pointing to itself as the next and previous node. This is just a matter of the data structure design. So, the needed memory to store an endless list would come down to one element and two pointers, both pointing at the same element.
Therefore it uses almost no memory, but it is impossible to count for algorithms that navigate the list nodes by following the next/previous pointers.