[R-SIG-Finance] half life are different when applying diff frequencies to mean reverting time series

Thomas X thomas.xue at gmail.com
Sun Jan 8 16:41:49 CET 2012

Hi, All

I try to calculate the lengths of the half life of a mean reverting time
series by applying different frequencies (1 second, 1 minutes, 1 hour, etc)
to the same time series in its format (using to.period). I use the adfTest
to calculate the p-value. For different frequencies, the p-values of the
time series are all below 0.01.  However, the values of half-life confuse
me. For example.

In the frequency of 10 seconds, half-life is 0.25, which is equivalent to
2.5 seconds.
In the frequency of 1 hour, half-life is 0.15, which is equivalent to 9

The values of the half life are different.

Any clue? Thanks.


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