Forecasting Volatility of Quality Assessment for High Energy Biscuits (HEB) with ARCH Model

Abstract

The High Energy Biscuits (HEB) products-310 data were collected from Institute of Food Science and Technology (IFST), Bangladesh Council of Scientific and Industrial Research (BCSIR), Dhaka over the year 2007 to 2012 in the method of single stage cluster sampling. Volatility as a measure of risk plays an important role in many qualitative decisions in such a situations. The main purpose of this study is to examine the volatility of the quality of High Energy Biscuits (HEB) products and its related stylized facts using Auto-regressive Conditional Heteoskedastic (ARCH) models. The physiochemical analysis data was used to study the volatility in the quality of High Energy Biscuits (HEB) products over a 5 years period. The adequacy of selected model tested using Auto-regressive Conditional Heteoskedastic-Lagrange Multiplier (ARCH-LM) test. The study concludes that ARCH model explains volatility of the quality of High Energy Biscuits (HEB) products.

Keywords: Volatility; ARCH models; ARCH-LM test; Quality of High Energy Biscuits (HEB) products; Single stage cluster sampling; Institute of Food Science and Technology (IFST).

DOI: 10.7176/FSQM/121-05

Publication date: January 31^st 2023