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

ARAS S., ÖZDEMİR M. O., Çılgın C.

Research in International Business and Finance, cilt.77, 2025 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 77
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1016/j.ribaf.2025.103002
  • Dergi Adı: Research in International Business and Finance
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit
  • Anahtar Kelimeler: Volatility, Bitcoin, GARCH-MIDAS, Google Trends, Uncertainty, Investor Attention
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

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.