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Amalia Listiani
Program Studi Sains Aktuaria, Institut Teknologi Sumatera
Civil Engineering, Building, Construction & Architecture Earth & Planetary Sciences Engineering Materials Science & Nanotechnology Mechanical Engineering

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Peramalan Cryptocurrency dengan Autoregressive Integrated Moving Average (ARIMA) dan Risiko Kerugian dengan Value at Risk (VaR) Amalia Listiani; Dani Al Mahkya
Journal of Science and Applicative Technology Vol 6 No 2 (2022): Journal of Science and Applicative Technology December Chapter
Publisher : Lembaga Penelitian dan Pengabdian Masyarakat (LPPM), Institut Teknologi Sumatera, Lampung Selatan, Lampung, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35472/jsat.v6i2.904

Abstract

Blockchain is a technology that is used for recording digital transactions that are interconnected and cannot be changed. Cryptocurrencies use blockchain technology, which has advantages due to a high level of security, low fees, and a high return on investment. One of the most popular cryptocurrencies and one that has a high market cap is Bitcoin. High volatility carries the risk of large losses. So it is necessary to analyze the risk of loss and forecast Bitcoin. Forecasting is carried out using the Autoregressive Integrated Moving Average (ARIMA) model, which is then carried out by risk analysis using Value at Risk (VaR) using the Historical Data method. Based on the research results, ARIMA [4,1,2] was great for predicting Bitcoin, with a Mean Absolute Percentage Error (MAPE) of 6%. Based on the results of research with Value at Risk (VaR), investors have a maximum loss tolerance of 5.86% and there is a 5% possibility that the losses will exceed 5.85%.
Co-Authors Dani Al Mahkya