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oai:data.mendeley.com/cd8nwm89nt.1 2026-04-06T10:46:49Z

Liu, Siyi Beyond Conventional Sentiment Indicators: Cryptocurrency’s Hidden Potential in VIX Forecasting Mendeley Data 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. Financial Forecasting Volatility Cryptocurrency Lin, Juan Gu, Ming Dataset doi:10.17632/cd8nwm89nt.1 oai:data.mendeley.com/cd8nwm89nt.1 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/cd8nwm89nt 2026-04-06T10:46:49Z