Correlation of a time series with its own lagged values: ρ_k = Corr(X_t, X_t-k). Equity returns show near-zero autocorrelation at daily-to-monthly horizons (weak-form efficiency), but volatility (|R_t| or R_t^2) is strongly positively autocorrelated — the volatility-clustering stylised fact that motivates GARCH. Ljung-Box and Durbin-Watson are standard significance tests; positive return autocorrelation in fund NAVs is the smoking gun for stale-price marking (a Madoff-detection diagnostic).