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Yea, I have a 2015 Jetta which is why I was curious. I wonder if this explains why my car sounds really weird for the first few minutes of running.

It's probably the secondary air pump (sometimes nicknamed the "Good Morning Pump" by VW owners) that operates when the engine is cold, to reduce pollution https://en.wikipedia.org/wiki/Secondary_air_injection

I think that's just a diesel thing.

I don't have a diesel, but it sure sounds like I do!