Calculating mean reversion half life

HELP ME PLEAZE

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Jun 16, 2016
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I am trying to calculate the half life to mean reversion of a time series. This is what I have done so far. Am i barking up the wrong tree???

Working in excel I have the daily closes of a share price from which i have calculated the change from the previous day of the share price.
I have used the slope function to give me a gradient using Y as the change in price from the previous day and X as the share price.
i have then taken this number (z) and done the following calculation:-

Half-life = LN(2)/Z OR IS THE EQUATION Half-life = LOG(2)/Z OR MORE WORRYINGLY IS IT NONE OF THIS AT ALL!!!!!!!!!
why is the answer negative? It cant take a negative time to mean revert?? or do i just take the absolute value???????
Any help appreciated :D



LNLOG
PRICECHANGE ON DAYSLOPEH/LIFEH/LIFE 2
202-1.00333-0.69084-0.30003
181
175
12-3
15-3
18-3
21-6
27-5
32-24
56
 
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