The plot below shows the autocorrelation (ACF) and partial autocorrelation (PACF) functions of VXX returns. It’s interesting to note that VXX returns are positively auto-correlated at 3-day lag.

Using Autocorrelation to Evaluate Investments Autocorrelation can serve as a valuable tool for evaluating the behavior of investment returns over time.

A.D.M. Hilton, J.B. Roberts, O. Hadded, Autocorrelation Based Analysis of Ensemble Averaged LDA Engine Data for Bias-Free Turbulence Estimates: A Unified Approach ...

In this article, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two ...

Here we propose and experimentally demonstrate a method of determining both the real and imaginary components of a single photon's temporal density matrix by measuring the autocorrelation function ...

Autocorrelation can be used for analyzing many types of data. In investments, autocorrelation is part of the technical analysis toolkit used to assess the predictability of asset returns.