Monitoring and modelling the power grid frequency is key to ensuring stability in the electrical power system. Many tools exist to investigate the detailed deterministic dynamics and especially the bulk behaviour of the frequency. However, far less attention has been paid to its stochastic properties, and there is a need for a cohesive framework that couples both short-time scale fluctuations and bulk behaviour. Moreover, commonly assumed uncorrelated stochastic noise is predominantly employed in modelling in energy systems. In this publication, we examine the stochastic properties of the Nordic Grid, focusing on the increments of the frequency recordings. We show that these increments follow non-Gaussian statistics and display spatial and temporal correlations. Furthermore, we report two different physical synchronisation phenomena: a very short timescale phase synchronisation (< 2 s) followed by a slightly larger timescale amplitude synchronisation (2 s-5 s). Overall, these results show that modelling of fluctuations in power systems should not be restricted to Gaussian white noise.INDEX TERMS Power-grid frequency, power-grid frequency fluctuations, phase synchronisation, amplitude synchronisation.