Gate 5: OU via Exact AR(1), Not Euler

A residual's AR(1) fit gives φ = 1.01. What does Gate 5 say?

• Pass, because a φ near 1 means a long, steady half-life
• Fail, because with φ above 1 a gap is expected to grow, so there is no pull back and no half-life
• Fail only if the half-life is above 7.5 days

From the same fitted φ, how do the Euler and exact half-lives compare?

• The Euler half-life is shorter, so Euler makes exits look faster
• They are always equal
• The Euler half-life is longer, so Euler makes reversion look slower