Speed of mean reversion

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Post Reply
Maurelius
Posts: 12
Joined: Sat Apr 12, 2014 11:11 pm

Speed of mean reversion

Postby Maurelius » Mon Apr 28, 2014 3:49 am

Hi!

I'm wondering how to calculate the speed of mean reversion. I've heard that the half-life formula is t = ln(0.5)/ln(abs(b)).

But how do you use it in practice? I'm quite lost here.

Best regards,

Maurelius
Top
Maurelius
Posts: 12
Joined: Sat Apr 12, 2014 11:11 pm

Re: Speed of mean reversion

Postby Maurelius » Mon Apr 28, 2014 10:45 am

What I want to know is how to estimate the Ornstein-Uhlenbeck process for a time-series data of stock prices. Anyone please help?
Top
Post Reply

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests