What does it mean? When a detective says:'I got squat."
I think it means that he has nothing at all (no suspect and clue ), but I am not sure about that.

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You're exactly correct :)

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I got nothing
I got jack
I got squat
I got nada

But they are all very informal. Don't use them except with friends and in informal speaking

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Yes, it means absolutely nothing. We also say "jack squat".

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