The Predictive Power of Twitter Sentiment for Bitcoin and Ethereum Volatility: Evidence from HAR-RV and GARCH Models

Abstract

This paper examines whether social media sentiment derived from Twitter and Reddit improves the explanation and prediction of cryptocurrency volatility. Using Bitcoin and Ethereum as benchmark assets, we combine sentiment indicators with GARCH-type models and the HAR-RV framework. Results suggest that cryptocurrency volatility is primarily driven by internal market dynamics rather than social media sentiment.