Analysis of Volatility Spillover Bitcoin of Ethereum, Tether and World Gold Prices Using The EGARCH Method

Darmawan, Surya and Septiani, Ikrima (2023) Analysis of Volatility Spillover Bitcoin of Ethereum, Tether and World Gold Prices Using The EGARCH Method. Jurnal Manajemen dan Perbankan (JUMPA) - STIE YAI Jakarta, 10 (2). pp. 47-60. ISSN 2746-9948

Text JUMPA-STIE YAI-VOL 10 EDISI 2 JUNI2023 hal 47-60.pdf Download (385kB)

Abstract

This study uses weekly data to analyze the effect of bitcoin price spillover volatility on Ethereum prices, tether prices, and world gold prices in the 2016–2021 period. This research was conducted because cryptocurrency has a big role in investment as an alternative asset, with the returns tending to be high and utilizing digital technology to make transactions more flexible. On the other hand, crypto-owned assets have benefits in helping the transaction process or exchange of other currencies in the form of dollars, rupiah, or other currencies. The analysis in this study uses the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model with a sampling technique in the form of purposive sampling. The results show that there is a volatility spillover effect between Bitcoin and Ethereum. In addition, there are more positive shocks than negative shocks to the volatility of Bitcoin and Ethereum prices. As the spillover volatility between Bitcoin, tether, and world gold cannot be proven because the variable price data is homoscedastic, it cannot be continued with the EGARCH model because it does not meet the modeling requirements. Keywords: Cryptocurrency, EGARCH, Global Gold, Spillover Volatility.

Item Type:	Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi dan Bisnis > S1 Manajemen
Depositing User:	Drs. Surya Darmawan, M.M
Date Deposited:	09 Mar 2024 04:43
Last Modified:	09 Mar 2024 04:43
URI:	http://eprints.uty.ac.id/id/eprint/15054

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