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Let $X_1, ..., X_n \sim N(\mu, \sigma^2)$. As shown in this thread, the standard deviation of the sample standard deviation,

$$ s = \sqrt{ \frac{1}{n-1} \sum_{i=1}^{n} (X_i - \overline{X}) }, $$

is

$$ {\rm SD}(s) = \sigma \sqrt{ 1 - \frac{2}{n-1} \cdot \left( \frac{ \Gamma(n/2) }{ \Gamma( \frac{n-1}{2} ) } \right)^2 } $$

where $\Gamma(\cdot)$ is the gamma function and $n$ is the sample size. Since $s$ is a consistent estimator of $\sigma$, this suggests replacing $\sigma$ with $s$ in the equation above to get a consistent estimator of ${\rm SD}(s)$.

If it is an unbiased estimator you seek, we see in this thread that $ E(s) = \sigma \cdot \sqrt{ \frac{2}{n-1} } \cdot \frac{ \Gamma(n/2) }{ \Gamma( \frac{n-1}{2} ) } $, which, by linearity of expectation, suggests

$$ s \cdot \sqrt{ \frac{n-1}{2} } \cdot \frac{\Gamma( \frac{n-1}{2} )}{ \Gamma(n/2) } $$

as an unbiased estimator of $\sigma$. All of this together with linearity of expectation gives an unbiased estimator of ${\rm SD}(s)$:

$$ s \cdot \frac{\Gamma( \frac{n-1}{2} )}{ \Gamma(n/2) } \cdot \sqrt{\frac{n-1}{2} - \left( \frac{ \Gamma(n/2) }{ \Gamma( \frac{n-1}{2} ) } \right)^2 } $$

Macro
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