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Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility

机译：经济基础或投资者的看法？不确定性在预测长期加密发炎性波动性中的作用

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This paper investigates the impacts of News-based Implied Volatility (NVIX) on the long-term volatility of five cryptocurrencies using the GARCH-MIDAS model. We also evaluate the hedging effectiveness of cryptocurrencies against the S&P 500 index after incorporating NVIX. The empirical results show that NVIX has a negative and significant impact on the long-term volatility of five cryptocurrencies. The impact of NVIX remains robust even after controlling for Global Economic Policy Uncertainty (GEPU) and Realized Volatility (RV). The uncertainty derived from investor perception is more important than the uncertainty of economic fundamentals in predicting cryptocurrency volatility. The hedging effectiveness of Bitcoin against the S&P 500 index is improved due to consideration of NVIX. This paper provides new evidence concerning the impacts of uncertainty on the volatility of cryptocurrencies.
机译：本文调查了基于新闻的隐含波动率（NVIX）对五种加密货币的长期波动性的影响，使用GARCH-MIDAS模型。我们还评估了NVIX后对S＆P 500指数对CREPTOCCRINCH的对冲有效性。经验结果表明，NVIX对五个加密货币的长期波动性产生负面影响。即使在控制全球经济政策不确定性（GEPU）和实现波动（RV）后，NVIX对NVIX的影响仍然是强劲的。来自投资者感知的不确定性比经济基本原则预测加密充血性波动性的不确定性更重要。由于NVIX的考虑，提高了比特币对S＆P 500指数的对冲效果。本文提供了关于不确定性对加密货币波动性的影响的新证据。

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