Análisis de la Volatilidad del Mercado de Criptomonedas en Economías Emergentes y el Efecto de los Sentimientos

Joan Sebastián Rojas Rincón; Mariluz Rubio Santana

doi:10.22490/ECACEN.10279

No. 1 (2026): Working Papers 2026-I

Published 2026-07-30

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Analysis of Cryptocurrency Market Volatility in Emerging Economies and the Effect of Sentiment

DOI: https://doi.org/10.22490/ECACEN.10279

Joan Sebastián Rojas Rincón Fundación Universitaria del Área Andina

Mariluz Rubio Santana Universidad Nacional Abierta y a Distancia

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Abstract
References

This study analyzes the effect of market sentiment on the volatility of the BRICS Chain USD digital asset using the Cryptocurrency Fear and Greed Index (CFGI). Using daily data, changes in returns were measured, and the CFGI was fitted for use in a GARCH(1,1) model. The maximum likelihood estimation (MLE) method was applied, assuming a normal distribution, and errors were reviewed to ensure robustness to unexpected changes. The results show that past volatility has a significant effect on current volatility, which is evidence of persistence over time and suggests that market shocks tend to prolong their effect on conditional variance dynamics. In contrast, the CFGI does not have a significant impact on conditional volatility; therefore, market sentiment does not directly explain short-term fluctuations in BRICS Chain USD. In summary, the results reveal that volatility responds immediately to recent shocks and that the effect persists over time. Furthermore, the model confirms the presence of conditional heteroscedasticity, which is characteristic of cryptocurrency markets.

keywords: Cryptocurrencies, Volatility, Emerging Markets, Social Media, Market Sentiment

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Rojas Rincón , J. S., & Rubio Santana, M. (2026). Analysis of Cryptocurrency Market Volatility in Emerging Economies and the Effect of Sentiment. Documentos De Trabajo ECACEN, 1, 88-104. https://doi.org/10.22490/ECACEN.10279

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