COMPARISON OF THE VOLATILITY OF GARCH FAMILY MODEL IN THE CRYPTOCURRENCY MARKET: SYMMETRY VERSUS ASYMMETRY

DOI: https://doi.org/10.30598/barekengvol19iss4pp2571-2582
Keywords: Cryptocurrency, EGARCH Model, GARCH(1,1), GJR-GARCH Model, Volatility

Abstract

Cryptocurrencies can be considered an individual asset class due to their distinct risk/return characteristics and low correlation with other asset classes. Volatility is an important measure in financial markets, risk management, and making investment decisions. Different volatility models are beneficial tools to use for various volatility models. The purpose of this study is to compare the accuracy of various volatility models, including GARCH, EGARCH, and GJR-GARCH. This study applies these volatility models to the Bitcoin, Ethereum, and Litecoin return data in the period January 1st, 2020, to December 31st, 2024. The performance of these models is based on the smallest AIC value for each model. The results of the study indicate that the GARCH (1,1) is the most suitable model for Bitcoin, Litecoin, and Ethereum returns.

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Published
2025-09-01
How to Cite
[1]
A. A. Pasaribu and A. Sa’adah, “COMPARISON OF THE VOLATILITY OF GARCH FAMILY MODEL IN THE CRYPTOCURRENCY MARKET: SYMMETRY VERSUS ASYMMETRY”, BAREKENG: J. Math. & App., vol. 19, no. 4, pp. 2571-2582, Sep. 2025.
Issue
Vol 19 No 4 (2025): BAREKENG: Journal of Mathematics and Its Application
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Articles

Copyright (c) 2025 Asysta Amalia Pasaribu, Aminatus Sa'adah

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