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.
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