This paper extends the emerging literature on climate finance by exploring the predictive role of climate sentiment on the volatility of green equity returns. Utilizing the recently developed news-based measures of aggregate climate and biodiversity risks as a proxy for market sentiment and high frequency data for green equity ETFs, we report distinct volatility patterns in green equity returns in response to market news regarding climate change and biodiversity loss. While our findings confirm the significant volatility effect of climate sentiment in green equities, we show that market attention to climate change is more important at shorter forecast horizons whereas attention to developments regarding biodiversity loss is a stronger predictor of volatility at longer forecast horizons. Further examining the economic implications of volatility forecasts, we show that climate focused investors can significantly improve the risk and return tradeoff in their green investment strategies by incorporating proxies of climate sentiment in their volatility forecasting models and differentiating between good and bad volatility in equity returns. Our findings add a novel perspective to the burgeoning literature on the systematic pricing of climate exposure in equity markets by extending the evidence to a volatility forecasting context with significant investment implications.