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All Journal SELAPARANG: Jurnal Pengabdian Masyarakat Berkemajuan Journal of Applied Data Sciences Jurnal Pengabdian Masyarakat Indonesia
Febrianti, Diah Ratna
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Journal : Journal of Applied Data Sciences

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Volatility Analysis of Cryptocurrencies using Statistical Approach and GARCH Model a Case Study on Daily Percentage Change Sarmini, Sarmini; Widiawati, Chyntia Raras Ajeng; Febrianti, Diah Ratna; Yuliana, Dwi
Journal of Applied Data Sciences Vol 5, No 3: SEPTEMBER 2024
Publisher : Bright Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47738/jads.v5i3.261

Abstract

Cryptocurrency has become a significant subject in the global financial market, attracting investors and traders with its high volatility and profit potential. This study analyzes the daily volatility and GARCH volatility of six major cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Litecoin (LTC), USD Coin (USDC), Tether (USDT), and Ripple (XRP). Daily percentage change data and GARCH volatility are analyzed over specific time periods. The analysis reveals that Bitcoin (BTC) has an average daily percentage change of 0.366%, while Ethereum (ETH) has 0.376%. Litecoin (LTC) shows a daily percentage change of 0.166%, whereas USD Coin (USDC) and Tether (USDT) have very low daily percentage changes, nearly approaching zero. In terms of GARCH volatility, Ethereum (ETH) stands out with a volatility of 0.198, followed by Bitcoin (BTC) with a volatility of 0.121. The study's results indicate that cryptocurrencies are vulnerable to extreme price fluctuations, evidenced by their asymmetry distribution and kurtosis. Volatility correlation analysis reveals significant relationships, important for risk management and portfolio diversification. These findings contribute to understanding cryptocurrency volatility characteristics and aid stakeholders in making informed investment decisions.
Co-Authors Chyntia Raras Ajeng Widiawati Rujianto Eko Saputro Saputri, Inka Sarmini Sarmini Yuliana, Dwi