Melola Discovery

← Melola Discovery

Open access Jurnal SINTA 3

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

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 19 No. 4 (2025) · pp. 2571–2582

DOI
10.30598/barekengvol19iss4pp2571-2582
ISSN
2615-3017, 1978-7227
Published
2025-09-01
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

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.

Collaboration network of the authors

11 authors · 20 co-authorship links · 8 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Bandung Institute of Technology
  • Binus University
  • Institut Teknologi Telkom Purwokerto
  • Universitas Prasetiya Mulya
  • IPB University
  • Bandung Islamic University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Dian Kartika SariAffiliation unknown2
Anang KurniaAffiliation unknown2
Ayomi SasmitoUniversitas Prasetiya Mulya2
Roberd SaragihBandung Institute of Technology1
Dewi HandayaniBandung Institute of Technology1
Bagus SartonoIPB University1
Khairil Anwar NotodiputroBandung Islamic University1
Nur Fitriyani SahamonyAffiliation unknown1
Kusman SadikAffiliation 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">COMPARISON OF THE VOLATILITY OF GARCH FAMILY MODEL IN THE CRYPTOCURRENCY MARKET: SYMMETRY VERSUS ASYMMETRY</dc:title>
	<dc:creator>Pasaribu, Asysta Amalia</dc:creator>
	<dc:creator>Sa'adah, Aminatus</dc:creator>
	<dc:description xml:lang="en-US">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.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2025-09-01</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/17460</dc:identifier>
	<dc:identifier>10.30598/barekengvol19iss4pp2571-2582</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 19 No 4 (2025): BAREKENG: Journal of Mathematics and Its Application; 2571-2582</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol19iss4year2025</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/17460/11172</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2025 Asysta Amalia Pasaribu, Aminatus Sa'adah</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>