Uncertainty or investor attention: Which has more impact on Bitcoin volatility?

Serkan Aras, Mehmet Ozan Özdemir and Cihan Çılgın

Research in International Business and Finance, 2025, vol. 77, issue PB

Abstract: The growing popularity of web-based indices has increased interest in their application for forecasting Bitcoin volatility. This study examines the individual and combined impacts of investor attention indices, such as the Google Trends Cryptocurrency Attention (GTCA) index, and uncertainty indices, including GEPU, GPR, and WUI, on Bitcoin price fluctuations using a GARCH-MIDAS model. Our findings reveal that attention indices, particularly GTCA, are more significant predictors of Bitcoin volatility than uncertainty indices. Moreover, models that combine GTCA with uncertainty indices improve explanatory power and out-of-sample forecast accuracy. These results underscore the importance of integrating diverse data sources for better volatility forecasting, providing valuable insights for investors and policymakers.

Keywords: Volatility; Bitcoin; GARCH-MIDAS; Google Trends; Uncertainty; Investor Attention (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531925002582
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002582

DOI: 10.1016/j.ribaf.2025.103002

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().