Comparative Examination of the Efficacy of Gold in Relation to Bitcoin Cryptocurrency as a Viable Investment Alternative Riskon Ginting, Ratri Kurniasari, Yanita Ella Nilla Chandra
Politeknik Negeri Jakarta
Abstract
The escalation of investment interest during the economic turmoil precipitated by Covid-19 necessitates a more judicious approach from investors in selecting investment instruments. The consistent appreciation in the value of gold, coupled with the rapid ascent in the valuation of Bitcoin amidst market disruptions, serves as the rationale for the selection of these two instruments as viable alternative investments. This research endeavors to investigate which investment vehicles, specifically gold and Bitcoin, exhibit the highest and lowest volatility during periods of crisis, to identify the optimal univariate ARCH-GARCH model, to conduct a time-varying volatility assessment, and to examine the disparities in volatility across pre-crisis, crisis, and post-crisis periods. This inquiry adopts a descriptive quantitative research methodology, wherein the selection of samples is based on periodic data evaluated on a daily basis. The analytical framework employed in this investigation comprises descriptive statistical analysis alongside time series analysis, utilizing a dataset that encompasses 2922 observations of gold and Bitcoin returns spanning from June 2019 to May 2023. The findings of this investigation reveal that Bitcoin represents the investment instrument with the highest volatility, whereas gold demonstrates the least volatility. The most suitable model for characterizing the volatility of gold and Bitcoin during periods of crisis is identified as GARCH (1,1). The volatility exhibited by both gold and Bitcoin during the Covid-19 crisis is characterized by temporal variability. The distinctions in volatility observed between pre-crisis, during crisis, and post-crisis periods are evidenced by the presence of asymmetric effects.
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