KURNIAWAN, KHUSRUL (2022) PERAMALAN DENGAN METODE ANALISIS DERET WAKTU PADA CRYPTOCURRENCY PERIODE 2015 - 2022. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Cryptocurrency is a digital currency that is currently much interested as an alternative investment. ARIMA, GARCH and Holt’s Winter method is one of the methods used for forecasting time series data. The purpose of this research is to create a model and predicted the price of the bitcoin. The data used is secondary data in the form of daily closing price data for Bitcoin, Ripple, and Litecoin as much as 2,520 daily closing price data starting from August 07, 2015, to June 30, 2022, to predict Bitcoin, Ripple, and Litecoin prices for the next 30 periods starting on July 01. 2022 to July 31, 2022. This study is to determine the forecasting model that has an error below 5% with MSE, MAPE, and U Theil. The results of the study indicate that the Holt Winter forecasting model is good for Bitcoin, Ripple, and Litecoin. The Holt Winter Bitcoin model produces a MAPE value = 2.605%, Holt's Winter Ripple produces a MAPE value = 4.334% and Holt's Winter Litecoin produces a MAPE value = 3.598%. Keyword: Cryptocurrency, Forecasting, ARIMA, GARCH, Holt Winter Cryptocurrency merupakan mata uang digital yang saat ini banyak diminati sebagai alternatif investasi. Metode ARIMA, GARCH dan Holt’s Winter adalah salah satu metode forecasting yang digunakan untuk data deret waktu. Tujuan dari penelitian ini adalah untuk membuat model dan meramalkan harga Bitcoin, Ripple dan Litecoin. Data yang digunakan adalah data sekunder yaitu berupa data harga penutupan harian Bitcoin, Ripple dan Litecoin sebanyak 2.520 data harga penutupan harian mulai dari tanggal 07 Agustus 2015 sampai dengan 30 Juni 2022 untuk memprediksikan harga Bitcoin, Ripple dan Litecoin selama 30 periode kedepan mulai tanggal 01 Juli 2022 sampai dengan 31 Juli 2022. Penelitian ini untuk menentukan model peramalan yang memilki error di bawah 5% dengan MSE, MAPE dan U Theil. Dari hasil penelitian menunjukkan bahwa model peramalan Holt’s Winter baik digunakan untuk Bitcoin, Ripple dan Litecoin. Model Holt’s Winter Bitcoin menghasilkan nilai MAPE = 2,605%, Holt’s Winter Ripple menghasilkan nilai MAPE = 4,334% dan Holt’s Winter Litecoin menghasilkan nilai MAPE = 3,598%. Kata Kunci: Cryptocurrency, Forecasting, ARIMA, GARCH, Holt Winter
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CD/551. 22 098 |
| Call Number: | TM/51/23/010 |
| NIM/NIDN Creators: | 55120120096 |
| Uncontrolled Keywords: | Cryptocurrency, Forecasting, ARIMA, GARCH, Holt Winter |
| Subjects: | 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 154 Subconscious and Altered States and Process/Psikologi Bawah Sadar > 154.6 Sleep Phenomena/Fenomena Tidur > 154.63 Dreams/Mimpi > 154.634 Analysis/Analisis 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | ADELINA HASNA SETIAWATI |
| Date Deposited: | 01 Feb 2023 08:15 |
| Last Modified: | 01 Feb 2023 08:15 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/73892 |
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