We study a granular gas of viscoelastic particles, i.e, the kinetic energy loss upon collision, characteristic of granular materials, is a function of the particles relative velocities at impact. In order to characterize thermal memory in this system, we study the temperature relaxation curves when the granular gas is subject to sudden thermostat changes (the gas is heated homogeneously by means of a white noise). Results show that the system may display anomalous cooling and heating velocities at early times. In particular, a significant Mpemba effect is present; i.e., an initially hotter/cooler granular gas can cool down/heat up faster than an in comparison cooler/hotter granular gas. Moreover, a non-monotonic relaxation of the granular temperature can also be observed (also known as Kovacs effect) when the granular gas undergoes a certain protocol that sets it at a temperature equal to its long-time value. We study our system via three independent methods: theoretical solution, molecular dynamics simulations and exact numerical solution of the kinetic equation (obtained by means of the Direct Monte Carlo simulation method). We find a good agreement between all three methods.