Analisis Value At Risk Berdasarkan Volatilitas Cryptocurrency Bitcoin, Ethereum, Dan BNB Menggunakan Model ARCH/GARCH

Sri, Chandra Bayu Setyawan (2022) Analisis Value At Risk Berdasarkan Volatilitas Cryptocurrency Bitcoin, Ethereum, Dan BNB Menggunakan Model ARCH/GARCH. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Dalam aset Cryptocurrency, Bitcoin, Ethereum, dan BNB merupakan aset Cryptocurrency dengan kapitalisasi pasar 3 terbesar di seluruh pasar Cryptocurrency dan memiliki volatilitas yang tinggi sehingga sangat berisiko jika dijadikan aset untuk kegiatan investasi ataupun trading. Dalam meminimalkan risiko yang ada akibat volatilitas, perlu dilakukan analisis volatilitas serta estimasi value at risk(VaR) untuk membantu investor ataupun trader dalam pembentukan portofolio, diversifikasi portofolio, pengenalan tingkat risiko, dan manajemen risiko dalam mengambil sebuah keputusan. mengestimasikan value at risk(VaR) menggunakan model ARCH-GARCH karena model ini cocok untuk analisis tingkat pengembalian (return)serta volatilitas dalam aset Cryptocurrency. Serangkaian metode dilakukan yaitu, mengubah data harga menjadi pengembalian (return), melakukan uji stasioneritas dengan uji ADF, uji normalitas dengan uji Jarque Bera(JB), penentuan model ARIMA, diagnosis model ARIMA dengan uji Ljung-Box, pendeteksian heteroskedastisitas dengan uji ARCH-LM, penentuan model ARCH/GARCH, estimasi value at risk(VaR). Hasil penelitian ini menunjukkan nilai value at risk(VaR) untuk holding period investasi ataupun trading satu hari dengan tingkat kepercayaan 95% yang kemudian dikoreksi dengan pendekatan Cornish-Fisher Expansionsebesar 0,0529 untuk aset Bitcoin, 0,0669 untuk aset Ethereum, dan 0,0702 untuk aset BNB.
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In Cryptocurrency assets, Bitcoin, Ethereum, and BNB are Cryptocurrency assets with the 3rd largest market capitalization in the entire Cryptocurrency market and have high volatility so it is very risky if used as an asset for investment or trading activities. In minimizing the risks that arise due to volatility, it is necessary to carry out a volatility analysis and estimate value at risk(VaR) to assist investors or traders in portfolio formation, portfolio diversification, introduction of risk levels, and risk management in making a decision. estimating value at risk (VaR) using the ARCH-GARCH model because this model is suitable for analysis of returns and volatility in Cryptocurrency assets. A series of methods were carried out, namely, converting price data into returns, performing stationarity test with ADF test, normality test with Jarque Bera (JB) test, determination of ARIMA model,diagnosis of ARIMA model with Ljung-Box test, detection of heteroscedasticity with ARCH-test. LM, determination of ARCH/GARCH model, estimation of value at risk (VaR). The results of this study indicate the value at risk (VaR) for the holding period of investment or trading one day with a 95% confidence level which is then corrected by the Cornish-Fisher Expansion approach of 0.0529 for Bitcoin assets, 0.0669 for Ethereum assets, and 0 .0702 for BNB assets.

Item Type:	Thesis (Other)
Additional Information:	RSMB 658.155 2 Sri a-1 2022
Uncontrolled Keywords:	Cryptocurrency, value at risk(VaR), ARCH-GARCH, Volatilitas, Volatility
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4028.V3 Valuation. Economic value
Divisions:	Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis
Depositing User:	Anis Wulandari
Date Deposited:	09 Nov 2022 02:05
Last Modified:	09 Nov 2022 02:08
URI:	http://repository.its.ac.id/id/eprint/95070

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