Industry returns can help predict stock market volatility. By using a machine-learning method called random forests, researchers found that including past industry returns can improve forecasts of how volatile the stock market will be. After the 2008 financial crisis, industries like industrials and materials were especially good at predicting market volatility. Adding industry returns to volatility forecasts can be beneficial for those worried about not predicting enough volatility, especially for those who are more risk-averse.