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

These data and codes replicate all the empirical results presented in the paper "Beyond Conventional Sentiment Indicators: Cryptocurrency’s Hidden Potential in VIX Forecasting" by Ming Gu, Juan Lin, and Siyi Liu.

1. Input Data Files (/Data)
This file contains the main dataset and sub-dataset (/Data/Controls) used for the empirical analyses in the paper.
(1) match_BTC.dta: Daily decomposed return of Bitcoin from January 2018 to December 2025, aligning with the schedule of US market, based on 5-min OHLCV data for matching that can be obtained using paid API from Coindesk.
(2) match_ETH.dta: Daily decomposed return of Ethereum from January 2018 to December 2025, aligning with the schedule of US market, based on 5-min OHLCV data for matching that can be obtained using paid API from Coindesk.
(3) Bitcoin_active_addresses.xlsx: Daily unique active addresses of Bitcoin from Glassnode.
(4) Ethereum_active_addresses.xlsx: Daily unique active addresses of Ethereum from Glassnode.
(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.