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EWMA (exponential weighted moving average) is one way to estimate variance of time series data, and is pretty well known. The issue I have with EWMA is the maximums aren't smooth, especially when recovering from a time-series large spike, and it can take a little while to recover to pre-spike levels. I'm wondering if you know of (or are creative enough to come up with it yourself) a smoother EWMA that reverts to previous-spike levels quicker.
Let me know if I'm not clear, and thanks again for your advice!
Let me know if I'm not clear, and thanks again for your advice!