ANALISIS VOLATILITAS BITCOIN MENGGUNAKAN MODEL ARCH DAN GARCH
نویسندگان
چکیده
The popularity of Bitcoin increased significantly in 2021. is considered to deliver high returns a relatively short period, indicating that bitcoin has volatility. Data with volatility usually violates the Autoregresstive IntegratedinMovinginAverage (ARIMA)in homoscedasticity assumption. Autoregressive Conditional Heteroscedasticity (ARCH) and General (GARCH) model often used overcome problem heteroscedasticity thelARIMA model. ARCH GARCH models canfbe thefvolatilityfof data. This Research uses caused by data for period 30th June 2018 2022. results this study suggest there might be bestffiimodel ismiARIMA(1,0,[4])-GARCH(1,1) an AIC value -1,4263 at 95% confidence level
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ژورنال
عنوان ژورنال: Jurnal Gaussian : Jurnal Statistika Undip
سال: 2023
ISSN: ['2339-2541']
DOI: https://doi.org/10.14710/j.gauss.12.2.254-265