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);