Evidence abounds of the positive relationship between financial development and economic growth. While the empirical and theoretical literature has established a positive impact of financial sector development on economic growth, the potential links between financial development and volatility in developing countries and sub-Saharan African (SSA) in particular have been understudied despite the apparent rampant shocks. Specifically, the channels through which financial development potentially affects growth volatility remain unknown. More so, the extent of the volatility–financial development nexus is very mute in the literature. Meanwhile volatility, regardless of its source, is a natural source of worry in a world of market imperfections. This holds with particular force in developed economies where the financial sectors are relatively well developed. Some studies have long revealed greater forms of volatilities in high income countries on account of greater economic concentration. Legitimate as it is, if volatility matters in developed economies, then it must pose an even greater source of concern for developing countries that are still struggling to meet basic needs. Empirically, what we know so far on the financial development–volatility nexus is inconclusive and none of earlier studies on finance–volatility nexus have investigated the channels through which finance impacts on volatility in SSA. Even the few existing studies have failed to decompose volatility into its various components thereby obscuring how finance uniquely interacts with each component, and leaving out much of the richness of the volatility–finance–shocks relationships as much of the real world interactions can best be explained by disaggregated models of economic fluctuations. By disaggregating volatility, this study examines the effect of financial development on volatility as well as channels through which finance affects volatility components in 23 SSA countries over the period 1980–2014 using the newly developed panel cointegration estimation strategy.