Accurate volatility modelling is crucial for managing risks effectively in finance. This study looked at long memory in high frequency UK futures, focusing on different types of assets like stock index, interest rate, and bond futures. They found that long memory is strongest in bond futures, especially when looking at absolute returns. The researchers used a model called APARCH to analyze the data, which showed that the futures series exhibit ARCH, GARCH, and leverage effects. Overall, the findings suggest that long memory in volatility is influenced by intraday patterns and can be effectively captured by the APARCH model.