?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=ANALISIS+VOLATILITAS+DAN+PERAMALAN+RETURN+MATA+UANG+%0D%0ADIGITAL+(CRYPTOCURRENCY)+DI+DUNIA+DENGAN+METODE+%0D%0ADYNAMIC+CONDITIONAL+CORRELATION+GENERALIZED+%0D%0AAUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY++%0D%0A(DCC-GARCH)&rft.creator=Ahmad+%2C+Hanafi%09&rft.subject=500+ilmu+pengetahuan+alam+dan+matematika&rft.subject=510+Matematika&rft.description=The+Dynamic+Conditional+Correlation+Generalized+Autoregressive+Conditional+%0D%0AHeteroscedasticity+(DCC-GARCH)++is+one+of+the+multivariate+time+series+method+%0D%0Athat+can+be+used+if+residual+which+produced+by+a+model+still+had+heteroscedasticity.++%0D%0AThis+research+had+a+purpose+to+do+volatility+analysis+and+forecasting+using+return+%0D%0Acryptocurrency+in+the+world+data%2C+which+is+bitcoin%2C+etherum%2C+and+tether.++Before+%0D%0Aapplying+the+DCC-GARCH+method%2C+the+Vector+Autoregressive+(VAR)+method+must+%0D%0Abe+applied+first+to+get+the+residual+data+that+will+be+used+on+DCC-GARCH+model.++%0D%0ABased+on+the+lowest+value+of+AIC%2C+SBC%2C+HQC%2C+and+FPEC%2C+the+best+model+for+VAR+%0D%0Amodel+is+VAR(3).++The+model+that+be+used+on+this+research+is+VAR(3)+%E2%80%93+DCC+%0D%0AGARCH+(1%2C1).++A+high+volatility+and+variation+movement+is+happening+on+return+%0D%0Abitcoin%2C+the+volatility+of+return+etherum+also+had+a+variation+movement+although+in+%0D%0Asome+of+period+the+movement+is+tend+to+constant%2C+meanwhile+the+volatility+is+kinda+%0D%0Alow+and+had+a+constant+movement+is+happening+on+return+tether.++Forecasting+the+%0D%0Anext+7+days+ahead+on+bitcoin+return+had+increasing+value+in+average+around+0%2C086%25%2C+%0D%0Ameanwhile+on+etherum+return+and+tether+return+the+value+is+tend+to+decreasing+%0D%0Aaround+0%2C66%25+and+0%2C0028%25.+%0D%0AKey+words%3A+Multivariate+Time+Series%2C+Volatility%2C+Forecasting%2C+Vector+Autoregressive+++%0D%0A...................(VAR)%2C+DCC-GARCH%2C+Cryptocurrency.+%0D%0A%0D%0AMetode+Dynamic+Conditional+Correlation+Generalized+Autoregressive+Conditional+%0D%0AHeteroscedasticity+(DCC-GARCH)+merupakan+salah+satu+metode+deret+waktu+%0D%0Amultivariat+yang+dapat+diterapkan+apabila+residual+yang+dihasilkan+oleh+suatu+model+%0D%0Amasih+mengandung+heteroskedastisitas.++Penelitian+ini++bertujuan+untuk+melakukan+%0D%0Aanalisis+volatilitas+dan+peramalan+pada+return+mata+uang+digital+(cryptocurrency)+di+%0D%0Adunia+yaitu+bitcoin%2C+etherum%2C+dan+tether.++Sebelum+diterapkannya+metode+DCC%0D%0AGARCH%2C+akan+diterapkan+terlebih+dahulu+metode+Vector+Autoregressive+(VAR)+%0D%0Auntuk+mendapatkan+nilai+residual+yang+akan+digunakan+dalam+model+DCC%0D%0AGARCH.++Berdasarkan++nilai+AIC%2C+HQC%2C+SBC%2C+dan+FPE+terkecil%2C+model+VAR+%0D%0Aterbaiknya+adalah+model+VAR(3).+Model+terbaik+dalam+penelitian+ini+yaitu+model+%0D%0AVAR(3)+%E2%80%93+DCC+GARCH+(1%2C1).+Tingkat+volatilitas+yang+tinggi+dan+pergerakannya+%0D%0Abervariasi+terdapat+pada+return+bitcoin%2C+volatilitas+return+etherum+juga+%0D%0Apergerakannya+cukup+bervariasi+walaupun+pada+beberapa+periode+terdapat+%0D%0Apergerakan+yang+cenderung+konstan%2C+sedangkan+tingkat+volatilitas+yang+rendah+dan+%0D%0Apergerakannya+cenderung+konstan+yaitu+return+tether.+Peramalan+nilai+7+hari+%0D%0Akedepan+pada+return+bitcoin+mengalami+kenaikan+rata-rata+sebesar+0%2C086%25%2C+%0D%0Asedangkan+pada+return+etherum+dan+return+tether+nilainya+turun+sekitar+0%2C66%25+dan+%0D%0A0%2C0028%25.+%0D%0AKata+kunci%3A+Deret+Waktu+Multivariat%2C+Volatilitas%2C+Peramalan%2C+Vector+Autoregressive+%0D%0A(VAR)%2C+DCC-GARCH%2C+Cryptocurrency&rft.publisher=MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM+&rft.date=2024-04-17&rft.type=Skripsi&rft.type=NonPeerReviewed&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F85300%2F1%2F1.%2520ABSTRAK%2520-%2520ahmad.hanafi2001%2520ahmad.hanafi2001.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F85300%2F2%2F2.%2520SKRIPSI%2520FULL%2520-%2520ahmad.hanafi2001%2520ahmad.hanafi2001.pdf&rft.format=text&rft.identifier=http%3A%2F%2Fdigilib.unila.ac.id%2F85300%2F3%2F3.%2520SKRIPSI%2520TANPA%2520BAB%2520PEMBAHASAN%2520-%2520ahmad.hanafi2001%2520ahmad.hanafi2001.pdf&rft.identifier=++Ahmad+%2C+Hanafi+++(2024)+ANALISIS+VOLATILITAS+DAN+PERAMALAN+RETURN+MATA+UANG+DIGITAL+(CRYPTOCURRENCY)+DI+DUNIA+DENGAN+METODE+DYNAMIC+CONDITIONAL+CORRELATION+GENERALIZED+AUTOREGRESSIVE+CONDITIONAL+HETEROSCEDASTICITY+(DCC-GARCH).++MATEMATIKA+DAN+ILMU+PENGETAHUAN+ALAM+%2C+UNIVERSITAS+LAMPUNG+.+++++&rft.relation=http%3A%2F%2Fdigilib.unila.ac.id%2F85300%2F