Modeling climate policy uncertainty into cryptocurrency volatilities
本文利用遗传规划方法，证明气候政策不确定性在预测加密货币市场波动性中起重要作用，并构建了优于传统模型的波动预测模型，为投资者和政策制定者提供投资组合构建与对冲策略的参考。
Climate change is a highly controversial topic within the socioeconomic context. Climate Policy Uncertainty (CPU) arises from the process of climate policies formulation and implementation. This uncertainty impacts financial market volatilities, including cryptocurrency markets . In this paper, we demonstrate the substantial role of CPU in forecasting volatilities in cryptocurrency markets using Genetic Programming (GP). Our study shows that different cryptocurrency markets respond differently to CPU across time scales. Our paper contributes to the literature by illustrating the impact of CPU on cryptocurrency market volatilities and analyzes it across different time horizons. Second, we build three volatility forecasting models for different cryptocurrency markets by incorporating CPU, which outperform traditional models. Our models can thereby illuminate portfolio construction and hedging strategies, providing valuable insights for investors and policymakers.