YouTube T1-4 What is Autocorrelation (and how does it impact scaled volatility)?

[Nicole Seaman]

Autocorrelation is a correlation of variable (eg, returns) with itself over time; it is a violation of returns. Positive autocorrelation increases scaled volatility, while negative autocorrelation (aka, mean reversion) decreases scaled volatility.

Here is David's XLS: http://trtl.bz/2wSpHrG