Long memory of China futures markers volatility for high-frequency time series
中国期货市场高频波动率的长记忆性

At first,this paper investigates high frequency intra day commodity futures returns,using GPH model analyzes copper,soybean and cotton intra day returns and finds that there is very similar long memory in volatility features at 5 minutes frequency level.Then using a kinds of GARCH model as FIGARCH and HYGARCH fractionally integrated volatility processes describes the long memory features, we find that HYGARCH is more suitable for futures markers.