EWMA Volatility Estimator/ Multi Symbol

I converted this based on this page .
Historical-Volatility-Estimators by Balipour
https://www.tradingview.com/script/nT8O ... ators-pig/

EWMA stands for Exponentially Weighted Moving Average . The Close-to-Close and all other estimators here are all equally weighted.
EWMA weighs more recent volatility more and older volatility less.
At the present time, EWMA volatility is not often used because there are better options to weight volatility such as ARCH and GARCH.

But there are advantages. EWMA volatility is usually autocorrelated.
The autocorrelation has close to exponential decay as you can see using an Autocorrelation Function indicator on absolute or squared returns.
The autocorrelation causes volatility clustering which values the recent volatility more.
Therefore, exponentially weighted volatility can suit the property of volatility well.

(They do not handle regular volatility driving events such as earnings very well.
But this could be used for trading of indices, etc. )

[Notes]
Percentile Rank is a heavy processing.
So please select it when necessary, and limit the number of bars to calculate.

2023/01/17
The file name was changed because the name was not unified.