{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T17:49:17Z","timestamp":1792086557312,"version":"4.4.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":7,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Convertible bonds are three-to-five-year claims on equity volatility, yet the issuer often has no liquid long-dated options and only a short, noisy history. A one-parameter rule of thumb , maps an observed short-term volatility \u03c3 h into a long-term estimate \u03c3 i : it pulls very high observations down, pushes very low ones up and leaves the middle roughly alone. We test the rule out of sample on 99 listed stocks spanning eleven sectors and three size buckets, with histories of 20 to 52 years. Using a one-year volatility forecast as the input and the volatility realised over the following four years as the outcome, the median-fitted parameter is a = 0.61 (90% interval 0.55-0.65). This is stable across inputs and across threeto five-year horizons, and sits close to the practitioner prior a \u2248 0.7. The data are, if anything, more mean-reverting at the top of the range than the rule. We argue the shape follows from mean reversion in log volatility, and caution that the panel's survivorship biases the estimate toward too much reversion for high-volatility, weak-credit issuers-precisely the convertible universe. AI disclosure: an AI assistant (Claude, Anthropic) was used to run the experiments, write the code and draft the text; the idea and the rule are the author's own. * The views expressed are the author's own and do not necessarily represent those of Alken Asset Management.<\/jats:p>","DOI":"10.2139\/ssrn.7616458","type":"posted-content","created":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T17:27:35Z","timestamp":1792085255000},"source":"Crossref","is-referenced-by-count":0,"title":["A Power Rule for Long-Dated Volatility When You Are in the Dark: Evidence from a 99-Stock Panel"],"prefix":"10.2139","author":[{"given":"Antoine","family":"Marmoiton","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","article-title":"The distribution of realized stock return volatility","volume":"61","author":"T G Andersen","year":"2001","journal-title":"Journal of Financial Economics"},{"key":"ref2","first-page":"553","volume":"5","author":"S J Brown","year":"1992","journal-title":"Survivorship bias in performance studies"},{"key":"ref3","doi-asserted-by":"crossref","first-page":"475","DOI":"10.1093\/oso\/9780198296836.003.0020","article-title":"A long-run and short-run component model of stock return volatility","author":"R F Engle","year":"1999","journal-title":"Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger"},{"issue":"5","key":"ref4","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","article-title":"On the relation between the expected value and the volatility of the nominal excess return on stocks","volume":"48","author":"L R Glosten","year":"1993","journal-title":"Journal of Finance"},{"key":"ref5","first-page":"33","volume":"46","author":"R Koenker","year":"1978","journal-title":"Regression quantiles"},{"issue":"3","key":"ref6","doi-asserted-by":"crossref","first-page":"1217","DOI":"10.1214\/aos\/1176347265","article-title":"The jackknife and the bootstrap for general stationary observations","volume":"17","author":"H R K\u00fcnsch","year":"1989","journal-title":"Annals of Statistics"},{"issue":"2","key":"ref7","doi-asserted-by":"crossref","first-page":"478","DOI":"10.1257\/.41.2.478","article-title":"Forecasting volatility in financial markets: a review","volume":"41","author":"S.-H Poon","year":"2003","journal-title":"Journal of Economic Literature"}],"container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T17:30:12Z","timestamp":1792085412000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7616458"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":7,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7616458","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}