Peramalan Harga dan Volatilitas Ethereum menggunakan Metode ARIMA-GARCH

PONCO ARIEF TRYASTONO, . (2025) Peramalan Harga dan Volatilitas Ethereum menggunakan Metode ARIMA-GARCH. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Aset kripto, khususnya Ethereum, dikenal dengan tingkat volatilitasnya yang ekstrem, sehingga menghadirkan tantangan signifikan dalam peramalan harga. Penelitian ini bertujuan untuk memodelkan dan meramalkan harga serta volatilitas Ethereum menggunakan model gabungan Autoregressive Integrated Moving Average (ARIMA) dan Generalized Autoregressive Conditional Heteroscedasticity (GARCH). Penelitian ini menggunakan data mingguan close price Ethereum dari periode Mei 2022 hingga Mei 2025. Berdasarkan kriteria informasi Akaike (AIC) dan Bayesian (BIC) yang terendah, model terbaik yang terpilih adalah ARIMA(9,1,6)-GARCH(1,1). Kinerja peramalan model ini dievaluasi menggunakan Mean Absolute Percentage Error (MAPE) terhadap data uji, yang menghasilkan nilai 25.8831%, mengindikasikan kemampuan peramalan yang ”masuk akal” (reasonable). Hasil peramalan untuk 10 minggu ke depan menunjukkan tren harga yang cenderung stabil, dengan harga diproyeksikan bergerak di sekitar 1936 USDT hingga 2037 USDT. Sejalan dengan itu, prediksi volatilitas juga menunjukkan kestabilan pada tingkat yang signifikan, dengan nilai diperkirakan berada di kisaran 170 USDT hingga 175 USDT. ***** Cryptocurrency assets, particularly Ethereum, are known for their extreme volatility, which presents significant challenges in price forecasting. This research aims to model and forecast the price and volatility of Ethereum using a combined Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. This study utilizes weekly close price data of Ethereum from May 2022 to May 2025. Based on the lowest Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) values, the best-selected model is ARIMA(9,1,6)- GARCH(1,1). The model’s forecasting performance was evaluated using the Mean Absolute Percentage Error (MAPE) on the test data, yielding a value of 25.8831%, which indicates a ”reasonable” forecasting ability. The forecast results for the next 10 weeks show a relatively stable price trend, with prices projected to move between approximately USDT 1936 and USDT 2037. Correspondingly, the volatility forecast also indicates stability at a significant level, with values estimated to be in the range of USDT 170 to USDT 175.

Item Type:	Thesis (Sarjana)
Additional Information:	1) Dra. Widyanti Rahayu, M.Si. 2) Devi Eka Wardani Meganingtyas, S.Pd., M.Si.
Subjects:	Sains > Sains, Ilmu Pengetahuan Alam Teknologi dan Ilmu Terapan > Ekonomi Rumahan
Divisions:	FMIPA > S1 Matematika
Depositing User:	Ponco Arief Tryastono .
Date Deposited:	13 Aug 2025 06:53
Last Modified:	13 Aug 2025 06:53
URI:	http://repository.unj.ac.id/id/eprint/60744

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