Investigation of the impact of uncertainty indices on Bitcoin volatility using the ARDL model

Polina Pogorelova ()
Additional contact information
Polina Pogorelova: HSE University, Moscow, Russian Federation

Applied Econometrics, 2024, vol. 74, 35-50

Abstract: The article uses the ARDL model to study the impact of the VIX index and the indices of economic and market uncertainty based on data from the social network X (formerly Twitter, blocked in the Russian Federation) on the volatility of Bitcoin. To estimate the unobservable cryptocurrency volatility, the author uses a nonparametric estimator derived from 5-minute data on Bitcoin closing prices, considering adjustments if there are gaps within the day. The paper considers the data for the period from 02.01.2018 to 30.12.2022, divided into two half-periods: pre-COVID-19 period (from 02.01.2018 to 28.02.2020) and post-COVID-19 period (from 01.03.2020 to 31.12.2022). According to the results obtained by estimating the ARDL model at different half-periods, in the long term, there is a significant negative VIX index impact on the realized volatility of Bitcoin. This paper observed a short-term (instantaneous) significant positive effect on the realized volatility of Bitcoin for the index of market uncertainty TMU_ENG in the pre-COVID-19 period. The identified significant effects make it possible to use the VIX and TMU_ENG indices to improve the forecast quality in models for the volatility of the Bitcoin cryptocurrency.

Keywords: Bitcoin; cryptocurrency; realized volatility; ARDL model; uncertainty indices; COVID-19. (search for similar items in EconPapers)
JEL-codes: C32 C58 D80 G15 G17 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2024_74_035-050.pdf Full text (application/pdf)

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:ris:apltrx:0496

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().