We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some researchers and finance practitioners believe that historical and/or implied volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and, using creative graphical representations to capture robustly the transient dynamics of the volatility, find that the dynamics of the volatility would not have been a useful predictor of the subsequent crashes. In approximately two-third of the studied bubbles, the crash follows a period of lower volatility, reminiscent of the idiom of a “lull before the storm”. This paradoxical behavior, from the lenses of traditional asset pricing models, further questions the general relationship between risk and return.

中文翻译：

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我们可以利用波动率来诊断金融泡沫吗？40个历史泡沫中的教训

我们检查金融资产泡沫之前，之中和之后的价格波动，以发现可能的共性，并凭经验检查波动是否可以用作不可持续的价格上涨和相关崩溃的指标或预警信号。一些研究人员和金融从业人员认为，历史和/或隐含波动率在崩溃前会增加，但我们并不认为这是一致的行为。我们检查了四十个众所周知的气泡，并使用创造性的图形表示来可靠地捕获波动的瞬态动态，发现波动的动态不会成为后续崩溃的有用预测指标。在大约三分之二的泡沫中，崩溃发生了一段时间的低波动，让人联想到“暴风雨来临前的成语”的成语。