We study the problem of unsupervised heteroscedastic covariance estimation, where the goal is to learn the multivariate target distribution $\mathcal{N}(y, \Sigma_y | x )$ given an observation $x$. This problem is particularly challenging as $\Sigma_{y}$ varies for different samples (heteroscedastic) and no annotation for the covariance is available (unsupervised). Typically, state-of-the-art methods predict the mean $f_{\theta}(x)$ and covariance $\textrm{Cov}(f_{\theta}(x))$ of the target distribution through two neural networks trained using the negative log-likelihood. This raises two questions: (1) Does the predicted covariance truly capture the randomness of the predicted mean? (2) In the absence of ground-truth annotation, how can we quantify the performance of covariance estimation? We address (1) by deriving TIC: Taylor Induced Covariance, which captures the randomness of the multivariate $f_{\theta}(x)$ by incorporating its gradient and curvature around $x$ through the second order Taylor polynomial. Furthermore, we tackle (2) by introducing TAC: Task Agnostic Correlations, a metric which leverages conditioning of the normal distribution to evaluate the covariance. We verify the effectiveness of TIC through multiple experiments spanning synthetic (univariate, multivariate) and real-world datasets (UCI Regression, LSP, and MPII Human Pose Estimation). Our experiments show that TIC outperforms state-of-the-art in accurately learning the covariance, as quantified through TAC.