# Autocorrelation

*Math & Statistics — Finicade finance glossary*

Autocorrelation is a series being correlated with its own past values. In residuals it signals a misspecified model and understated standard errors. In finance it's also a substantive finding: returns show almost none, which supports weak-form efficiency, while squared returns show a great deal, which is volatility clustering and the reason GARCH models exist.

**Also known as:** serial correlation, autocorrelation function, Durbin-Watson

**Related terms:** [Residual](https://finicade.com/glossary/residual), [Mean Reversion](https://finicade.com/glossary/mean-reversion), [Volatility Clustering](https://finicade.com/glossary/volatility-clustering), [Random Walk](https://finicade.com/glossary/random-walk), [Regression](https://finicade.com/glossary/regression)

**Taught in:** Regression Range — Serial Correlation

Source: https://finicade.com/glossary/autocorrelation