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

Author

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  • Aras, Serkan
  • Özdemir, Mehmet Ozan
  • Çılgın, Cihan

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.

Suggested Citation

  • Aras, Serkan & Özdemir, Mehmet Ozan & Çılgın, Cihan, 2025. "Uncertainty or investor attention: Which has more impact on Bitcoin volatility?," Research in International Business and Finance, Elsevier, vol. 77(PB).
    • Handle: RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002582
    DOI: 10.1016/j.ribaf.2025.103002
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