Beyond Conventional Sentiment Indicators: Cryptocurrency’s Hidden Potential in VIX Forecasting

(5) gs_btc: Google search volumes of the term “Bitcoin”. (6) gs_eth: Google search volumes of the term “Ethereum”. (7) VIX_History.xlsx: Daily prices of the CBOE VIX Index.

(8) VXD_History.xlsx: Daily prices of the CBOE DJIA Volatility Index. (9) VXN_History.xlsx: Daily prices of the CBOE NASDAQ Volatility Index. (10) VXX_HistoricalData.xlsx: Daily prices of the iPath Series B S&P 500 VIX Short-Term Futures ETN.

(11) VIXY_HistoricalData.xlsx: Daily prices of the ProShares VIX Short-Term Futures ETF. (12) fomc.xlsx: The dummy of pre-schedule FOMC announcement day. (13) SPX_FUT.xlsx: Daily prices of S&P 500 (SPX) futures from Wind. 2.

Code Files (/Codes) (1) Stata codes (/Codes/Stata_codes): Obtain_Crypto_Sum.do and OtherVolatility_Merge.do provide the processed data for analysis. Summary_Statistics.do describes the decomposed cryptocurrency return and VIX changes. Univariate_Sort.do check the overnight cryptocurrency return as a sentiment proxy.

Regression_Insample.do gives the in-sample forecasting for the intraday change of VIX. Regression_OutofSample_Bitcoin.do and Regression_OutofSample_Ethereum.do give the out-of-sample forecasting for VIX involving Bitcoin and Ethereum, respectively. OutofSample_Pandemic.do and OutofSample_NonPandemic.do assess the out-of-sample forecasting within and without the impact of COVID-19.

Strategy_Performance.do and Strategy_Performance_VIXY.do assess the economic benefits of strategy based on out-of-sample forecasting. Cumulative_Gain.do draws the cumulative gain of the best strategies selected. ExpandingWindow_OutofSample.do give the out-of-sample forecasting with an expanding window.

(2) R codes (/Codes/R_codes): mcstest.R applies the MCS test for out-of-sample forecasting. 3. Results Saving file (/Save): Save the essential results of every step of empirical analysis, the sub-file (/Save/Predict) saves the forecasting losses for MCS test.