Do animals have a sixth sense?

One year, many years ago, my family and I were returning from a short and typical UK beach holiday.

Our dog, Candy had been left in the trust of my Grandma who lived around a mile from our house. Candy had never been to my Grandma's before but she owned some other dogs so loneliness should not have been a problem.

However...

When we stopped by to pick her up my Grandma was frantically telling us that she was gone. She had jumped out of a small window just that afternoon. Of course we were very worried and my parents showed obvious signs of anger.

We drove on home and as we got out of the car Candy was sitting outside the house wagging her tail and panting, just like nothing was wrong.

How did she know we were coming home?

I have no idea either! Do you have any stories like this?