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Journal : ESTIMASI: Journal of Statistics and Its Application

Perbandingan Performa MSGARCH, LSTM, dan Hybrid MSGARCH-LSTM pada Peramalan Data Deret Waktu yang Mengandung Heteroskedastisitas Freya, Wa Ode Rona; Sadik, Kusman; Susetyo, Budi
ESTIMASI: Journal of Statistics and Its Application Vol. 7, No. 1, Januari, 2026 : Estimasi
Publisher : Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/ejsa.v7i1.45934

Abstract

Volatility forecasting is crucial for estimating potential portfolio losses, particularly in cryptocurrency markets like Bitcoin, which exhibit high and irregular price fluctuations. Models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family, including Markov Switching GARCH (MSGARCH), are widely used to handle heteroscedastic data and capture regime changes. Meanwhile, Long Short-Term Memory (LSTM) is effective for modeling nonlinear and complex patterns in financial time series. This study proposes a hybrid MSGARCH-LSTM model by incorporating MSGARCH predictions as additional input to the LSTM. The model is evaluated using simulated data resembling Bitcoin's characteristics, with Heteroscedasticity Mean Absolute Error (HMAE) as the primary metric, and analyzed using ANOVA and Tukey's post-hoc test. The results identify four superior hybrid configurations, all of which significantly outperform the standalone MSGARCH and LSTM models. Based on the characteristics of Bitcoin data, the MSGARCH (2-regime with sged error distribution)-LSTM model is selected for empirical analysis. This model achieved an HMAE of 0.3197 and an HMSE of 0.2088, with accuracy improvements of 61.20% and 83.50% compared to the standalone MSGARCH model. These findings indicate that the hybrid MSGARCH-LSTM model improves volatility forecasting accuracy in highly volatile cryptocurrency markets.
Co-Authors . Indahwati Abdullah Mubarok Abdulloh Mubarok Acep Hidayat Achmad Hufad Adi Pamungkas, Priyo Adiwena, Bartolomeus Yofana Agung Wahyudi Biantoro Ahmad Mulyadiprana Ahmad Ridwan Aini, Sylvi Noor Akhlan, Riksma Nurahmi Rinalti Al Obaidi, Abdulkareem Sh. Mahdi Al-Wahid, Azhar Aliyudin, Isfandina Aminul Fajri Anang Kurnia Anisa, Rosiana Salsa Aprillia, Imas Diana Ar Radi, Mohammad Ardisal Ardisal Arga, Kevin Arif Irawan, Arif Arif Wicaksono Arifin, Hadi S Aripiani, Dena Tresna Aritonang, Febriola Nova Fitri Asmaran, Adam Aulia Rizki Firdawanti Azita, Nabila Nurrachmatika Aziz, Muhammad Jiddan Azizah, Dian Fitria Badri, Lusi N Bagus Sartono Bahagia Bahagia Bahagia Bahagia Bahrudin Bahrudin Baihaqi Fanani Bela, Muhammad Rafi Wirdan Assyakir Tandu Budi Rahman Chaidir, Ainun Dahlan, Dadang - Damayanti, Fika Desiana Vidayanti Deviro, Sonya Okta Dewi Indriasih Dewi, Irma Arlini Dewi, Kiki Patricia Dewi, Nurul Huda Fitriani Dien Noviany Rahmatika Dito, Gerry Alfa Dudi Gunawan, Dudi Dwikorawati, Syarifah Sofiah El-sabagh, Mennatallah Eliskar, Nelvi Roza Eliyas, Andri Endang Rochyadi, Endang Enrica, Marsha Erdiawati S.R., Witri Erwin Hermawan Fachruddin Mangunjaya, Fachruddin Fajar, Ibrahim Fatima, Ratih Fatimah, Ratih Fitriani Fitriani Fitrianto, Anwar Freya, Wa Ode Rona Gatot, Masitowati Gena Diniarti Gibtha Fitri Laxmi Gunawan Putra, Hendy Gustiara, Dela Hafiz Taqwa Hakim, Anisah Oktafiani Hamasah, Abdullah Azzam Hapsari, Elvina Hasan, Herlina Herlina Herlina Hernawati, Tati hery saputra Hidayat, Fadil Hidayati, Oni Hidayaturrahman, Haerul Holidah, Siti Dedah Homdijah, Oom Sitti Humiras Hardi Purba Ida Royani Iding Tarsidi Ilham Marsudi Imas Diana Aprilia Indriany, Syilvia Indupurnahayu Intan, Seri Irwan Prasetyo Ismail, Gunawan Isnaini, Mardatunnisa Isnarabani, Isnarabani Jamalulael, Idrus Janah, Rahmatul Jawu, Patricia Kanicia Juli Riyanto Tri Wijaya Kaisar Gusti, Raynold Karwono, H Khoshsimov, Maksud Kusman Sadik Kusnendi, K. Kusumaningtyas, Nella Kusumastuti, Shinta Dewi Machfud Machfud Maharaeni, Amalia Mahben Jalil Mangunjaya, Fachruddin Majeri Mashudi, Rudy Maulana, Edi Sujati Maulina, Dwi Mawardi Amin Mei Rani Amalia Meihadi, Restu Mindita Pratiya, Mutiara Ayu Mohammad Arif Taboer Mohammad Syafei, Mohammad Muchlisah, Anugerah Mufarihah, . Muhadi, Rizqi Annafi muhamad iqbal Muhammad Isradi Murdiyanto, Edy Nadiyah, Farah Ashma Nadiyah, Salma Nandi Warnandi Ningrum, Almyanti Nurhastuti, Nurhastuti Nurhayati H.S. Arifin Nurhayati, Immas Nurlaili, Rizka Nurrochmi, Eka Alfiyah Nursaniah, Sofi Septiani Julaeha Oktaviani, Jehan Nabela Pangestika, Nur Amalina Widya Perhati, Tina Aris Ponijo, Ponijo Popy Novita Pasaribu Pradana, Rahadian Sakti Pratiwi, Riri Prayogi, Dicky Afdi Primasari, Dewi Pujiastuti, Zakiyah Puspa Eosina Putra, Dedy Anggara Putri, Lamina Amalia Putri, Nurpinayu Naharia Putri, Tasha Dwilamiisa Qurrotul Uyun, Hana Raden Hendra Ariyapijati Rahma, Sukma Laksita Rahmanissa, Fashihah Ramadhana, Rizki Ranti Novianti Renea Shinta Aminda Rimun Wibowo Rimun Wibowo, Rimun Rina Maryanti Rivaldi Virgiawan RIZQITA, ALYA JILAN Rukmono, Reza Dwi Rumahorbo, Kusni Rohani Sadiyyah, Enung Siti Safarina, Winda Safaruddin Hidayat Al Ikhsan Safitri, Ratu D Saputra, Siti Dedah Holidah Sarifudin, Usep Saripudin, Usep Satria Wibawa, Satria Satyajati, Monika W. Sayaza, Mas Davino Setiono, Dedi Bangun Shafa, Qisthy Fathiya Shafa, Shalshabilla Siagian, Ira Ocktavia Sidik, Sahrul Sidik, Sahul Soemarna, Paula Amelia Hany Sofiah, Syarifah Solihat, Ai Nur Sri Widati Subekti, Mr. Sulistyaningsih, Reny Sumarno . Sunardi Sunardi Suriyani, . Suryani, Ajeng Susilawati , Agnes Dwita Susilawati, Agnes Dwita Syafril, Muthia Syafwandi, Syafwandi Syifa Azzahra, Nadia Tambrin, Nita Nitya Intan Teguh Prasetyo Tin Budi Utami Tjahjo Tri Hartono Tri Permadi Trisamiyanto, Ferdinandus Danu Triswandari, Retno Utami, Irwanti Cinta Dwi Vegit Risana Hughes Waluyo Wanahad, Udin Wati, Indi Rakhma Wibowo, Wahyu Setyo Widad, Alfaniah Aufa Shidqi Al Widiatmaka Widjayanti, Indri Widya, Mamad Wiwi Siswaningsih Wiyanti, Sari Wulandari, Fransisca Diyan Inge Yuliasih, Umi Yuni Fitriani, Yuni Yuniarti Herwinarni Yunita, Eva Anggra Zulaikha, Aidha