A new unbiased robust volatility estimator based on extreme values of asset prices

Krea academician, Prof Muneer Shaik from IFMR GSB along with Prof S Maheswaran recently published an article in the official publication of the Swiss Financial Analysts Association, Financial Markets and Portfolio Management (FMPM). Their paper proposes a new unbiased robust volatility estimator based on extreme values of asset prices. The paper shows that the proposed Add Extreme Value Robust Volatility Estimator (AEVRVE) is unbiased and is 2–3 times more efficient relative to the Classical Robust Volatility Estimator (CRVE).