Abstract: From the semi-parametric and nonparametric perspective, the paper empirically examines the long memory of commodity futures price yields and volatility, such as copper, gold, rubber and soybean by use of eight estimation methods. The research finds that: the long memory of futures price yields is not obvious as a whole, while there is significant long memory structure of futures price volatility,showing that unpredictable information has a long-term impact on the volatility of the futures market. The conclusions have important guiding and enlightment significance for efficiency measures of futures market, investment and risk management.

Key words: commodity futures, volatility;Long Memory