Abstract:
This research was conducted with the aim of assessing the best tools of volatility
to measure the investment risk in bitcoin. The research are trying to test between
ARCH/GARCH and standard deviation. The data used are bitcoin closing price
during the period 2017-2019. Analysis techniques that uses in this research is
value at risk. The researcher find out the data are in the time-varying variance
condition or heteroscedasticity condition. The results showed that the GARCH
(1,1,1) model gives the best estimate for measure value at risk in bitcoin because
it has the smallest SIC and AIC value. The results of the study concluded, the
VaR value can be interpreted at the level confidence of 95%, in the next 1 day,
Rp. 4.925.460, in the next 10 days, Rp. 49.254.600 and next 22 days, Rp.
108.360.120.
