These data are daily ranges of EUR USD futures continuous contract. I decided not to delve into long memory models as Im just an MA student and long memory is not much covered during econometrics classes, that"s the only reason. I know there are options for going ARFIMA instead of HAR, FIVECM instead of VECM of highs and lows, but these are either hard to estimate or brand new stuff and Im not at that level yet. Thanks for the suggestion though!

Daniel