Pratama, Aditya Rizky (2025) Analisis Pengaruh Nilai Tukar dan Harga Emas Terhadap Harga Bitcoin Menggunakan Autoregressive Distributed-Lag dan Estimasi Risiko Berdasarkan Value at Risk. Other thesis, Institut Teknologi Sepuluh Nopember.
![[thumbnail of 5006201071-Undergraduate_Thesis.pdf]](http://repository.its.ac.id/style/images/fileicons/text.png) |
Text
5006201071-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 April 2027. Download (2MB) | Request a copy |
Abstract
Bitcoin sebagai cryptocurrency terkemuka dan komponen utama dari ekosistem kripto global, telah menunjukkan volatilitas harga yang tinggi, yang dapat dipengaruhi oleh berbagai faktor, termasuk nilai tukar dan harga emas. Dalam konteks ini, nilai tukar dan harga emas dipilih sebagai variabel independen karena memiliki peran signifikan dalam menentukan arah harga Bitcoin. Penelitian ini bertujuan untuk menganalisis pengaruh nilai tukar dan harga emas terhadap menggunakan model Autoregressive Distributed-Lag (ARDL) dan mengestimasi risiko menggunakan metode Value at Risk (VaR). Model ARDL digunakan untuk menangkap hubungan jangka pendek dan jangka panjang antara variabel-variabel tersebut. Selanjutnya, dari perolehan model ARDL didapatkan hasil prediksi. Hasil prediksi ini kemudian digunakan untuk memproyeksikan harga Bitcoin, yang kemudian dianalisis lebih lanjut dengan metode VaR untuk mengukur risiko yang melekat pada volatilitas harga Bitcoin. Penelitian ini diharapkan dapat memberikan kontribusi signifikan bagi pengembangan literatur mengenai investasi di pasar kripto serta memberikan wawasan praktis bagi para investor dalam mengelola risiko terkait investasi pada aset digital yang volatil seperti Bitcoin. Diperoleh hasil dari model Koyck yaitu untuk variabel yang signifikan mempengaruhi harga Bitcoin adalah Kurs Euro terhadap Dollar AS dan harga emas. Lalu, dari hasil regresi dilakukan prediksi terhadap model dan dari hasil prediksi didapatkan hasil kerugian maksimum dari data model tersebut. Perhitungan VaR pada model short run multiplier dengan selang kepercayaan 90%, 95%, dan 99%. Kerugian maksimum -0.06 untuk CI 99%, 0.00087 untuk CI 95%, dan 0.112880 pada tingkat kepercayaan 90%. Lalu, untuk perhitungan VaR prediksi model Koyck jangka panjang untuk kerugian maksimum -0.5504 dengan CI 99%, kerugian maksimum -0.5503 dengan CI 95% dan -0.5487 untuk CI 90%.
===================================================================================================================================
Bitcoin, as the leading cryptocurrency and a key component of the global crypto ecosystem, has exhibited high price volatility influenced by various factors, including exchange rates and gold prices. In this context, exchange rates and gold prices were selected as independent variables due to their significant role in determining Bitcoin's price direction. This study aims to analyze the impact of exchange rates and gold prices on Bitcoin's price using the Autoregressive Distributed Lag (ARDL) model and to estimate risk using the Value at Risk (VaR) method. The ARDL model is employed to capture the short-term and long-term relationships among these variables. Subsequently, variables identified from the ARDL model are used for prediction. These predictions are then utilized to project Bitcoin prices, which are further analyzed using the VaR method to measure the inherent risk associated with Bitcoin's price volatility. This research is expected to make a significant contribution to the literature on crypto market investments and provide practical insights for investors in managing risks associated with highly volatile digital assets like Bitcoin. The results from the Koyck model show that the significant variables influencing Bitcoin prices are the Euro-to-US Dollar exchange rate and gold prices. Predictions were conducted based on the regression model, and the maximum loss was calculated using the model’s predicted data. VaR calculations for the short-run multiplier model at confidence intervals of 90%, 95%, and 99% revealed maximum losses of -0.06 at 99% CI, 0.00087 at 95% CI, and 0.112880 at 90% CI. Furthermore, the VaR calculation for the long-run Koyck model predictions indicated maximum losses of -0.5504 at 99% CI, -0.5503 at 95% CI, and -0.5487 at 90% CI.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Exchanges Rate, Gold Prices, Value at Risk, ARDL, Bitcoin, Harga Emas, Nilai Tukar |
| Subjects: | Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression Q Science > QA Mathematics > QA401 Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Aditya Rizky Pratama |
| Date Deposited: | 16 Jan 2025 02:08 |
| Last Modified: | 16 Jan 2025 02:08 |
| URI: | http://repository.its.ac.id/id/eprint/116320 |
Actions (login required)
 |
View Item |