The Relationship Between Bitcoin Returns, Volatility, And Volume Using Asymmetric Garch Modelling

In 2020-2021 where the world experienced a Covid-19 pandemic, price of Bitcoin increased and there was fairly high spike at turn year had touched an all-time (ATH) end 2021. is one currencies crypto that volatile when compared to exchange rates widely used currencies. addition, movements are difficult predict. The samples Euro, Pound Sterling, Yuan, Yen, Ruble, Franc, Bitcoin. data in form some these 2020-2021. This study aims find relationship between volatility with trading volume, return for forecasting purposes. research method Augmented Dickey-Fuller (ADF) stationarity test, then using ARMA model after EGARCH relationship. results this indicate positive volume. Just like volume However, returns, have negative For further can use different currency assets time periods.
 Keywords: Volatility, Volume, Returns, Bitcoin, GARCH