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We concern the high frequency returns of 15 minute commodity futures prices. The basic FIGARCH model with the usual normality assumption is found to be inappropriate in representing the high frequency commodity futures returns and the rejection appears to be due to the jumps which are occurred in the high frequency returns. Hence, this paper relies on the generalized FIGARCH model combined with the Bernoulli distribution that allows for jumps in the high frequency commodity futures returns. This paper shows that the generalized FIGARCH-Bernoulli distribution model performs quite well and that the jumps spuriously increase the long memory persistence in the volatility process of the high frequency commodity futures returns.

High Frequency Analysis on Jumps and Long Memory Volatility in Commodity Futures Prices