We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is distinct owing to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of potential predictors in a Bayesian model-averaging approach and, second, we take a look at multiple asset classes (equities, foreign exchange, bonds and commodities) over long time spans. We find that proxies for credit risk and funding liquidity consistently show up as common predictors of volatility across asset classes. Variables capturing time-varying risk premia also perform well as predictors of volatility. While forecasts by macro-finance augmented models also achieve forecasting gains out-of-sample relative to autoregressive benchmarks, the performance varies across asset classes and over time. Copyright © 2012 John Wiley & Sons, Ltd.