In order to capture the characteristics of crude oil futures, and based on the WTI crude oil futures five minutes high frequency data to construct the GED distribution and Skew t distribution of FIGARCH, FIAPARCH and HYGARCH model, this paper tried to analyze the volatility characteristics and to measure risk by using the fractal theory. The results show that three kinds of models that better depict the WTI crude oil futures volatility has a long memory feature; HYGARCH model with Skew t distribution in the risk measurement of crude oil futures is demonstrated precisely. The VaR of long and short positions are asymmetric. Hedgers or high frequency traders can forecast the volatility based on three models, prevent the short term volatility broaden abruptly, thus leading to insufficient margin to be liquidated. High frequency trading has a certain role in improving market liquidity and expanding market depth. Therefore, in the condition of controllable risk, it should encourage high frequency trading, which can improve the boom of derivatives market, enhance the stability and the international competitiveness of derivatives market.