Stress

Unfortunately, there is no white paper (that I am aware of) from Firstbeat Technologies or from Garmin, like there are for some other features, explaining the exact data processing in details, but from the available tids and bits, we can tell that you indeed need a few weeks to get the baseline, and also that you should wear the watch 24/7 for the most accurate results. Some of these details can be found for example in the following documents:

• What Is the Stress Level Feature on My Garmin Device? | Garmin Customer Support
• What is Heart Rate Variability (HRV)? | Garmin Customer Support
• HRV Status on Compatible Garmin Watches | Garmin Customer Support
• Firstbeat Analytics
• Firstbeat Analytics
• Firstbeat Analytics

Bullet said:

Does it need a couple of weeks or days to set baseline?

Besides others, the document on the HRV Status tells, the watch needs three weeks to establish the baseline for the HRV Status, and although it is not written that the same goes for the Stress levels too, I would assume it.

If you are not happy with the established baseline (for example because you started to use the watch in a stressful period), and unwilling to wait till the baseline moves where it should be, you can reset the watch to the factory defaults, and then wait up to another 3 weeks again. It is uncertain which of the ways would lead to the expected results quicker.

Bullet said:

Do you havet to wear the watch 24/7 for that?

In the first document you can read: "Wearing your device both day and night will return the most consistent, accurate results."