VOLATILITY MEASUREMENT TOOLS TO SUPPORT VALUE AT RISK MEASUREMENT IN BITCOIN

dc.contributor.author	Manialup, Stella Lidya Gloria
dc.date.accessioned	2021-10-13T07:08:38Z
dc.date.available	2021-10-13T07:08:38Z
dc.date.issued	2020
dc.identifier.uri	http://repository.president.ac.id/xmlui/handle/123456789/5113
dc.description.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.	en_US
dc.language.iso	en_US	en_US
dc.publisher	President University	en_US
dc.relation.ispartofseries	Accounting;008201600030
dc.subject	bitcoin	en_US
dc.subject	value at risk	en_US
dc.subject	volatility measurement	en_US
dc.title	VOLATILITY MEASUREMENT TOOLS TO SUPPORT VALUE AT RISK MEASUREMENT IN BITCOIN	en_US
dc.type	Thesis	en_US