Actually, it's impossible to asphyxiate yourself by just holding your breath. Assuming you had the mental willpower to do it to the point of hypoxia, your brain would eventually prioritize low-level biological functions over remaining conscious, and you would pass out.

Once that happened, your brain would sense the urgent need for oxygen, and cause you to begin breathing again. And what with you being unconscious, there wouldn't be much you could do to stop it.

So in conclusion, if you're going to commit suicide, holding your breath is not the way to do it.