ISSN 2456-0235

International Journal of Modern Science and Technology

INDEXED IN 

​​​​​​​​​​​​​September 2018, Vol. 3, No. 9, pp. 190-195. 

​​​Forecasting Volatility of Processed Milk Products in the frameworks of ARCH Model

Md. Anwar Hossain*
Planning and Development Division, Bangladesh Council of Scientific and Industrial Research, Dr.Qudrat-I-Khuda Road, Dhanmondi, Dhaka-1205, Bangladesh.

​​​*Corresponding author’s e-mail: anwarbcsir@yahoo.com

​Abstract

​Present work has explored the impact of type of food products on testing for ARCH effects and on the estimation of ARCH models for food products analysis data. Our sample comprises physiochemical and microbial analysis data for food products. The results of the food products forecasts reveal that processed milk products were forecasted to volatility of Tritratable Acidity (as lactic acid) (%) and Total Ash (on dry basis) (%) content which is highly volatile in this time period. The usual unit root tests results of the Dickey-Fuller test (DF) presented in study reject the null hypothesis of most of milk qualitative variable indicating that the series were stationary except Protein (%) and Total Ash (%). Hence, processed milk products qualitative analysis data are appropriate for this technique ARCH models of milk products analysis as expected.

Keywords: Physiochemical and Microbial analysis; ARCH effects; Forecasted to Volatility; Dickey–Fuller test.

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