IRAWAN, ANDREE (2024) PEMODELAN PREDIKSI RISIKO INVESTASI MATA UANG KRIPTO: PENDEKATAN MODEL VOLATILITAS GARCH DAN EWMA. S2 thesis, Universitas Mercu Buana Jakarta.
|
Text (HAL COVER)
Cover.pdf Download (1MB) | Preview |
|
|
Text (ABSTRAK)
Abstrak.pdf Download (549kB) | Preview |
|
![[img]](https://repository.mercubuana.ac.id/style/images/fileicons/text.png) |
Text (BAB I)
BAB 1.pdf Restricted to Registered users only Download (678kB) |
|
|
Text (BAB II)
BAB 2.pdf Restricted to Registered users only Download (1MB) |
|
|
Text (BAB III)
BAB 3.pdf Restricted to Registered users only Download (958kB) |
|
|
Text (BAB IV)
BAB 4.pdf Restricted to Registered users only Download (1MB) |
|
|
Text (BAB V)
BAB 5.pdf Restricted to Registered users only Download (544kB) |
|
|
Text (DAFTAR PUSTAKA)
DAFTAR PUSTAKA.pdf Restricted to Registered users only Download (542kB) |
|
|
Text (LAMPIRAN)
LAMPIRAN.pdf Restricted to Registered users only Download (1MB) |
Abstract
The number of cryptocurrency investors has grown rapidly compared to conventional financial asset investors. This condition needs attention considering the characteristics of crypto assets which have quite high asset price volatility without any underlying transactions. This research aims to provide empirical evidence related to the best volatility estimation model based on the results of VaR calculations. This research chose two cryptocurrencies, namely Bitcoin and Ethereum because these two cryptocurrencies have the largest market capitalization among other cryptocurrencies. The data used is daily closing price data for each cryptocurrency for the period 1 January 2020 to 30 June 2023. Data for the period 1 January 2020 to 31 December 2022 is used to create a prediction model. Meanwhile, data for the period 1 January 2023 to 30 June 2023 is used to test the accuracy of the two volatility models. Tests were carried out to determine which volatility model provided the best validity and smallest error between GARCH and EWMA. The test results show that the GARCH volatility model is better than the EWMA volatility model. And specifically the GARCH (1,1) volatility model is proven to have a smaller error value than the EWMA volatility model. Keywords: Investment, Risk, Bitcoin, Ethereum, Volatility, GARCH, EWMA. Jumlah investor mata uang kripto telah tumbuh pesat dibandingkan dengan investor aset keuangan konvensional. Kondisi ini perlu mendapatkan perhatian mengingat karakteristik aset kripto yang memiliki volatilitas harga aset yang cukup tinggi tanpa adanya transaksi underlying. Penelitian ini bertujuan untuk memberikan bukti empiris terkait dengan model estimasi volatilitas terbaik berdasarkan hasil penghitungan VaR. Penelitian ini memilih dua mata uang kripto yaitu Bitcoin dan Ethereum karena kedua mata uang kripto tersebut memiliki kapitalisasi pasar terbesar di antara mata uang kripto yang lainnya. Data yang digunakan adalah data harga penutupan harian masing-masing mata uang kripto selama periode 1 Januari 2020 sampai dengan 30 Juni 2023. Data periode 1 Januari 2020 sampai dengan 31 Desember 2022 digunakan untuk membuat model prediksi. Sedangkan data 1 Januari 2023 sampai dengan 30 Juni 2023 digunakan untuk menguji akurasi kedua model volatilitas. Pengujian dilakukan untuk menentukan model volatilitas mana yang memberikan validitas terbaik dan error terkecil diantara GARCH dan EWMA. Hasil pengujian menunjukkan bahwa model volatilitas GARCH lebih baik dibandingkan model volatilitas EWMA. Dan secara spesifik model volatilitas GARCH (1,1) terbukti memiliki nilai error lebih kecil dibandingkan model volatilitas EWMA. Kata Kunci: Investasi, Risiko, Bitcoin, Ethereum, Volatilitas, GARCH, EWMA.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CD/555. 24 020 |
| NIM/NIDN Creators: | 55521110013 |
| Uncontrolled Keywords: | Investasi, Risiko, Bitcoin, Ethereum, Volatilitas, GARCH, EWMA. |
| Subjects: | 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 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.6 Investment/Investasi |
| Divisions: | Pascasarjana > Magister Akuntansi |
| Depositing User: | khalimah |
| Date Deposited: | 15 Jun 2024 01:57 |
| Last Modified: | 15 Jun 2024 01:57 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/88917 |
Actions (login required)
 |
View Item |
