Dynamic multi-objective optimisation (DMO) handles optimisation problems with multiple (often conflicting) objectives in varying environments. Such problems pose various challenges to evolutionary algorithms, which have popularly been used to solve complex optimisation problems, due to their dynamic nature and resource restrictions in changing environments. This paper proposes vector autoregressive evolution (VARE) consisting of vector autoregression (VAR) and environment-aware hypermutation to address environmental changes in DMO. VARE builds a VAR model that considers mutual relationship between decision variables to effectively predict the moving solutions in dynamic environments. Additionally, VARE introduces EAH to address the blindness of existing hypermutation strategies in increasing population diversity in dynamic scenarios where predictive approaches are unsuitable. A seamless integration of VAR and EAH in an environment-adaptive manner makes VARE effective to handle a wide range of dynamic environments and competitive with several popular DMO algorithms, as demonstrated in extensive experimental studies. Specially, the proposed algorithm is computationally 50 times faster than two widely-used algorithms (i.e., TrDMOEA and MOEA/D-SVR) while producing significantly better results.