[no subject]

["Leeds, Mark" <mleeds@mlp.com>]

can anyone answer the following or know of a reference for

the following type of question ?

 

suppose i have an AR(1) model where the coefficient

is Beta.

 

so, the equation is y_t = mu + beta*y_t-1 + epsilon

 

if the model is estimated with  a daily frequency,

so that is t is daily, are there formulas

that exist for how many days it will take for

y_t to "return" to its long run average

when it at say y* at time t ?

 

i imagine, if there is a formula, then it's a function

of beta and the volatility of epsilon  but i haven't seen one in any books

that i'm familar with ? thanks.

 

                                                mark