Vol 19 No 4 (2025): BAREKENG: Journal of Mathematics and Its Application
Articles

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

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  • Asysta Amalia Pasaribu,
  • Aminatus Sa'adah
Asysta Amalia Pasaribu
Department of Statistics, School of Computer Science, Binus University, Indonesia
Aminatus Sa'adah
Department of Informatics, Faculty of Informatics, Telkom University, Indonesia
DOI: https://doi.org/10.30598/barekengvol19iss4pp2571-2582
Published September 1, 2025
Keywords
  • Cryptocurrency,
  • EGARCH Model,
  • GARCH(1,1),
  • GJR-GARCH Model,
  • Volatility
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.

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

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This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

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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