Three pieces of research today address the question.
First BofAML says that an increase in volatility is indicative of bear market rollovers:
Specifically, we found that vol also tends to increase heading into the final two years of a bull market relative to the year before. The most prominent examples occurred during the Oct-90 to Jul-98 bull market, which saw a large pickup in vol in the last two years amid the start of the Tech Bubble, and the Aug-82 to Aug-87 bull market, which saw vol take off ahead of the Black Monday crash in Oct-87.
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David Llewellyn-Smith is Chief Strategist at the MB Fund and MB Super. David is the founding publisher and editor of MacroBusiness and was the founding publisher and global economy editor of The Diplomat, the Asia Pacific’s leading geo-politics and economics portal.
He is also a former gold trader and economic commentator at The Sydney Morning Herald, The Age, the ABC and Business Spectator. He is the co-author of The Great Crash of 2008 with Ross Garnaut and was the editor of the second Garnaut Climate Change Review.
