News sentiment analysis using ChatGPT for Bitcoin price dynamics: Application of statistical and machine learning methods

Data cover the period from January 1, 2021, to March 31, 2024.

It includes:

logarithms of realized variance for BTC/USD (lRVd,t), daily logarithmic returns (rd,t), logarithms of first lags for daily (lRVd,t-1), weekly (lRVw,t-1), and monthly (lRVm,t-1) realized variances and

sentiment indicators from ChatGPT connected with: (1) a potential short-term price increase or decrease (XP), (2) a potential short-term increase or decrease in volatility (XV1), (3) a potential short-term high or low volatility (XV2) and unidirectional sentiment indicators connected with: (4) the short-term expectations of a increase in BTC price (XP+),(5) the short-term expectations of a decrease in BTC price (XP-), (6) the short-term expectations of a increase in BTC volatility (XV1+), (7) the short-term expectations of a decrease in BTC volatility (XV1-), (8) the short-term expectations of high BTC volatility (XV2+), (9) the short-term expectations of low BTC volatility (XV2-).