How is Volatility calculated in the Screener?

Volatility measures the price variations of a financial instrument over a specified period of time. The wider the range in prices, the higher the volatility. The narrower the range in prices, the lower the volatility. 

Here's the volatility formula that we use for our calculations (weekly, monthly, and daily):

//@version=4
study("volatility")

fastSearchN(xs, x) => // xs - sorted, ascending
    max_bars_back(xs, 366)
    left  = 0
    right = min(bar_index,366)
    mid = 0
    if xs < x
        0
    else
        for i = 0 to 9
            mid := ceil((left+right) / 2)
            if left == right
                break
            else if xs[mid] < x
                right := mid
                continue
            else if xs[mid] > x
                left := mid
                continue
            else
                break
        mid

month1 = 30
month_ago = timenow - 1000*60*60*24*month1
month_ago_this_bar = time - 1000*60*60*24*month1
countOfBars1MonthAgo = fastSearchN(time, month_ago)
countOfBars1MonthAgoThisBar = fastSearchN(time, month_ago_this_bar)

week1 = 7
week_ago = timenow - 1000*60*60*24*week1
week_ago_this_bar = time - 1000*60*60*24*week1
countOfBarsWeekAgo = fastSearchN(time, week_ago)
countOfBarsWeekAgoThisBar = fastSearchN(time, week_ago_this_bar)

// volatility
volatility(bb) =>
    bb2 = bb
    if bar_index == 0
        bb2 := 365
    if bb2 == 0
        na
    else
        s = sum((high-low)/abs(low) * 100 / bb2, bb2)
        if bb == 0
            na
        else
            s

plot(volatility(countOfBarsWeekAgoThisBar), title="Volatility.W")
plot(volatility(countOfBars1MonthAgoThisBar),title="Volatility.M")
plot(tr(true)*100/abs(low), title="Volatility.D")

Note: this script values are different on history and realtime because of timenow, see https://www.tradingview.com/pine-script-docs/en/v4/essential/Indicator_repainting.html

For visual display, you can add this script to your chart through the Pine Editor using the chart's daily timeframe. An indicator will appear on the chart, the plots of which will show values for each type of volatility.