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I have a simple script that calculates the correlation between two instruments. I then take the code we've been discussing for historical volatility, and try to plot the volatility of the correlation. However the second plot function of the volatility just shows a flat line at 0. Any ideas what I'm missing here?
t1 = Correlation( Foreign(instrument1, "Close"), Foreign(instrument2, "Close"), period1);
Plot(t1, "Correlation", colorYellow);
hv1 = StDev(log(t1/Ref(t1,-1)),period1)*sqrt(260);
Plot(hv1,"Volatility", colorWhite,styleLine|styleOwnScale);
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