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CRYPTOCURRENCY PRICE PREDICTION: A HYBRID LONG SHORT-TERM MEMORY MODEL WITH GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 17 No. 3 (2023) · pp. 1575–1584

DOI
10.30598/barekengvol17iss3pp1575-1584
ISSN
2615-3017, 1978-7227
Published
2023-09-30
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

Cryptocurrency is a virtual payment instrument currently popular as an investment alternative. One type of cryptocurrency widely used as an investment is Bitcoin due to its high-profit potential and risk due to unstable exchange rate fluctuations. This high exchange rate fluctuation makes trading transactions in the crypto market speculative and highly volatile. To overcome this volatility factor, this research used the Generalized Autoregressive Conditional Heteroscedasticity forecasting method to describe the heteroscedasticity factor, as well as a Recurrent Neural Network (RNN) with long-short-term memory that has feedback in modeling sequential data for time series analysis. The two methods are combined to overcome the dependency of time series data in the long term and the heteroscedastic effect of the volatility of price changes. The results of the GARCH-LSTM hybrid model in this study show a Mean Absolute Percentage Error (MAPE) value of 15.69%. The accuracy value is obtained from the division of training data by 80% and testing data by 20%, with the number of neurons as many as three and epochs of 100 using the Adam optimizer. The MAPE accuracy results show a good prediction in predicting the value.

Collaboration network of the authors

12 authors · 25 co-authorship links

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  • Universitas Muhammadiyah Semarang
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Tiani Wahyu UtamiAffiliation unknown2
Eko YuliyantoAffiliation unknown2
M Al HarisAffiliation unknown2
Laily HimmaturrohmahAffiliation unknown1
Nun Maulida Suci AyomiAffiliation unknown1
Wiwik SetiayaniAffiliation unknown1
Iis Widya HarmokoAffiliation unknown1
Muhammad Sam’anUniversitas Muhammadiyah Semarang1
Wulan SariAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en-US">CRYPTOCURRENCY PRICE PREDICTION:  A HYBRID LONG SHORT-TERM MEMORY MODEL WITH GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY</dc:title>
	<dc:creator>Nur, Indah Manfaati</dc:creator>
	<dc:creator>Nugrahanto, Rifqi</dc:creator>
	<dc:creator>Fauzi, Fatkhurokhman</dc:creator>
	<dc:description xml:lang="en-US">Cryptocurrency is a virtual payment instrument currently popular as an investment alternative. One type of cryptocurrency widely used as an investment is Bitcoin due to its high-profit potential and risk due to unstable exchange rate fluctuations. This high exchange rate fluctuation makes trading transactions in the crypto market speculative and highly volatile. To overcome this volatility factor, this research used the Generalized Autoregressive Conditional Heteroscedasticity forecasting method to describe the heteroscedasticity factor, as well as a Recurrent Neural Network (RNN) with long-short-term memory that has feedback in modeling sequential data for time series analysis. The two methods are combined to overcome the dependency of time series data in the long term and the heteroscedastic effect of the volatility of price changes. The results of the GARCH-LSTM hybrid model in this study show a Mean Absolute Percentage Error (MAPE) value of 15.69%. The accuracy value is obtained from the division of training data by 80% and testing data by 20%, with the number of neurons as many as three and epochs of 100 using the Adam optimizer. The MAPE accuracy results show a good prediction in predicting the value.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2023-09-30</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/8566</dc:identifier>
	<dc:identifier>10.30598/barekengvol17iss3pp1575-1584</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications; 1575-1584</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol17iss3year2023</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/8566/6571</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2023 Indah Manfaati Nur, Rifqi Nugrahanto, Fatkhurokhman Fauzi</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>