Volatility Forecasting Using GARCH Versus EGARCH Models for Cryptocurrencies, Indonesian Stocks, and U.S. Stocks

Yuki Dwi Dharma(1), Asri Utami(2*), Pujiharta Pujiharta(3),

(1) Pelita Bangsa University
(2) Pelita Bangsa University
(3) Pelita Bangsa University
(*) Corresponding Author

Abstract


This study examines and compares the effectiveness of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) and EGARCH (Exponential GARCH) models in forecasting volatility across three distinct financial markets: cryptocurrencies, Indonesian stocks, and U.S. stocks. The research analyzes daily closing price data from April 2018 to September 2024, focusing on five major cryptocurrencies (Bitcoin, Ethereum, Tether, Binance Coin, and Ripple), five Indonesian blue-chip stocks (BBCA, BBRI, BYAN, BMRI, and TPIA), and five major U.S. stocks (Apple, Nvidia, Microsoft, Google, and Amazon). Using comparative analysis of ARCH(1), GARCH(1,1), and EGARCH(1,1,1) models, the study evaluates their predictive accuracy through multiple metrics including AIC, MAE, RMSE, and SMAPE. Results indicate that EGARCH(1,1,1) generally performs better for cryptocurrencies and U.S. stocks, while GARCH(1,1) shows superior performance for Indonesian stocks, suggesting that volatility patterns and optimal forecasting models vary across different market contexts.

Keywords


Volatility Forecasting; GARCH Models; EGARCH Models; Cryptocurrency Markets; Stock Market Analysis

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References


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DOI: http://dx.doi.org/10.33019/ijbe.v9i2.1125

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