• Autocorrelation is the degree of similarity between a given time series and its lagged version over successive time intervals.

  • Autocorrelation measures the relationship between the current value of a variable and its past values.
  • An autocorrelation of +1 represents a perfect positive correlation, and an autocorrelation of minus 1 represents a perfect negative correlation.
  • Technical analysts can use autocorrelation to measure how much past prices for a security affect its future price.