ANALISIS VOLATILITAS HARGA BITCOIN DALAM PASAR MATA UANG CRYPTO DENGAN MENGGUNAKAN METODE TIME SERIES GARCH

This study aims to analyze the volatility characteristics of Bitcoin prices using the ARIMA-GARCH model based on monthly data from January 2020 to May 2025. Bitcoin is known for its extreme price fluctuations, posing challenges for risk management and investment strategies. Using the ARIMA-GARCH approach, this research separates the mean and variance components to better capture the dynamics of volatility. The results indicate that Bitcoin’s price volatility exhibits volatility clustering, fat tails, and high persistence, as shown by the value of α + β = 0.9451. These findings suggest that market shocks tend to have long-lasting impacts on volatility. Model evaluation was conducted through the ARCH-LM test, AIC/BIC criteria, and residual diagnostics (Ljung-Box and Jarque-Bera), all of which support the appropriateness of the GARCH(1,1) model. This study provides empirical insights into cryptocurrency risk and is relevant for investors, policymakers, and academics in portfolio management and decision-making within the digital asset market.