{"id":"https://openalex.org/W4284990771","doi":"https://doi.org/10.1145/3537693.3537712","title":"Forecasting Cryptocurrency Volatility Using GARCH and ARCH Model","display_name":"Forecasting Cryptocurrency Volatility Using GARCH and ARCH Model","publication_year":2022,"publication_date":"2022-04-27","ids":{"openalex":"https://openalex.org/W4284990771","doi":"https://doi.org/10.1145/3537693.3537712"},"language":"en","primary_location":{"id":"doi:10.1145/3537693.3537712","doi":"https://doi.org/10.1145/3537693.3537712","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3537693.3537712","pdf_url":null,"source":{"id":"https://openalex.org/S7407086174","display_name":"International Conference on E-Commerce, E-Business and E-Government (ICEEG)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th International Conference on E-Commerce, E-Business and E-Government","raw_type":"proceedings-article"},"volume":null,"type":"conference-paper","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036773692","display_name":"Amadeo Christopher","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I166073570","display_name":"Binus University","ror":"https://ror.org/03zmf4s77","country_code":"ID","type":"education","lineage":["https://openalex.org/I166073570"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Amadeo Christopher","raw_affiliation_strings":["Faculty of Economics and Communication, Bina Nusantara University, Indonesia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Communication, Bina Nusantara University, Indonesia","institution_ids":["https://openalex.org/I166073570"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5039790469","display_name":"Kevin Deniswara","orcid":"https://orcid.org/0000-0003-3781-9610","observed_orcids":["https://orcid.org/0000-0003-3781-9610"]},"institutions":[{"id":"https://openalex.org/I166073570","display_name":"Binus University","ror":"https://ror.org/03zmf4s77","country_code":"ID","type":"education","lineage":["https://openalex.org/I166073570"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Kevin Deniswara","raw_affiliation_strings":["Faculty of Economics and Communication, Bina Nusantara University, Indonesia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Communication, Bina Nusantara University, Indonesia","institution_ids":["https://openalex.org/I166073570"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068012187","display_name":"Bambang Leo Handoko","orcid":"https://orcid.org/0000-0001-7218-8362","observed_orcids":["https://orcid.org/0000-0001-7218-8362"]},"institutions":[{"id":"https://openalex.org/I166073570","display_name":"Binus University","ror":"https://ror.org/03zmf4s77","country_code":"ID","type":"education","lineage":["https://openalex.org/I166073570"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Bambang Leo Handoko","raw_affiliation_strings":["Faculty of Economics and Communication, Bina Nusantara University, Indonesia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Communication, Bina Nusantara University, Indonesia","institution_ids":["https://openalex.org/I166073570"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I166073570"],"apc_list":null,"apc_paid":null,"fwci":4.3995,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.92860565,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"163","last_page":"170"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency-volatility","display_name":"cryptocurrency volatility","score":0.9850000143051147},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.8980000019073486},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.8679999709129333},{"id":"https://openalex.org/keywords/arch-models","display_name":"ARCH models","score":0.9959999918937683},{"id":"https://openalex.org/keywords/bitcoin","display_name":"Bitcoin","score":0.9890000224113464},{"id":"https://openalex.org/keywords/ethereum","display_name":"Ethereum","score":1.0},{"id":"https://openalex.org/keywords/binance-coin","display_name":"Binance Coin","score":0.9990000128746033},{"id":"https://openalex.org/keywords/litecoin","display_name":"Litecoin","score":0.9829999804496765},{"id":"https://openalex.org/keywords/gjr-garch","display_name":"GJR-GARCH","score":0.9229999780654907},{"id":"https://openalex.org/keywords/garch-midas","display_name":"GARCH-MIDAS","score":0.9950000047683716}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.9415168762207031},{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.8259032964706421},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7937051057815552},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.7586777210235596},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7046964168548584},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6684954762458801},{"id":"https://openalex.org/C11312509","wikidata":"https://www.wikidata.org/wiki/Q12277","display_name":"Arch","level":2,"score":0.5467745661735535},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3783738613128662},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3633558750152588},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.14677953720092773},{"id":"https://openalex.org/C147176958","wikidata":"https://www.wikidata.org/wiki/Q77590","display_name":"Civil engineering","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3537693.3537712","doi":"https://doi.org/10.1145/3537693.3537712","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3537693.3537712","pdf_url":null,"source":{"id":"https://openalex.org/S7407086174","display_name":"International Conference on E-Commerce, E-Business and E-Government (ICEEG)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 6th International Conference on E-Commerce, E-Business and E-Government","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W114276366","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2759609844","https://openalex.org/W2770889229","https://openalex.org/W2800896112","https://openalex.org/W2888909974","https://openalex.org/W2992980136","https://openalex.org/W3033737737","https://openalex.org/W4211068006","https://openalex.org/W6601779363"],"related_works":["https://openalex.org/W3120620012","https://openalex.org/W4412395361","https://openalex.org/W4396889017","https://openalex.org/W3180432658","https://openalex.org/W2981214159","https://openalex.org/W4410221943","https://openalex.org/W4413962054","https://openalex.org/W4321781576","https://openalex.org/W2900684055","https://openalex.org/W4405192682"],"abstract_inverted_index":{"This":[0,71],"research":[1,44,72,107],"aims":[2,73],"to":[3,27,74,82,112,126,135,145],"analyze":[4],"the":[5,39,57,87,93,128,138],"calculation":[6,35],"of":[7,34,36,38,130],"volatility":[8,129,139],"stage":[9],"from":[10,23,53,95],"five":[11],"cryptocurrency":[12,40,110,131,140],"products,":[13],"which":[14],"are":[15,100,142],"Bitcoin,":[16],"Ethereum,":[17],"Binance":[18],"Coin,":[19],"Dashcoin,":[20],"and":[21,64,78,97],"Litecoin":[22],"1st":[24,28],"January":[25],"2018":[26],"April":[29],"2021":[30],"where":[31],"it":[32],"consists":[33],"each":[37],"products'":[41],"volatility.":[42],"The":[43,89],"method":[45,49],"is":[46,123],"a":[47],"quantitative":[48],"by":[50],"gaining":[51],"data":[52,58,94],"Investing.com.":[54],"Then,":[55],"analyzing":[56],"using":[59],"Autoregressive":[60,66],"Conditional":[61,67],"Heteroscedasticity":[62,68],"(ARCH)":[63],"Generalized":[65],"(GARCH)":[69],"models.":[70],"know":[75],"whether":[76],"ARCH":[77,96],"GARCH":[79,98,115],"models":[80,99],"apply":[81],"daily":[83,104],"life":[84],"situations":[85],"in":[86],"field.":[88],"result":[90],"shows":[91],"that":[92],"not":[101],"suitable":[102,144],"on":[103],"basis.":[105],"Further":[106],"should":[108],"calculate":[109,127,146],"products":[111,132,141],"use":[113],"differentiated":[114],"models,":[116],"such":[117],"as":[118],"GJR-GARCH":[119],"or":[120],"GARCH-MIDAS.":[121],"It":[122],"also":[124],"better":[125],"annually.":[133],"According":[134],"some":[136],"thesis,":[137],"more":[143],"annually":[147],"than":[148],"daily.":[149]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2022-07-11T00:00:00"}
