One commonly used sample estimator of volatility is the standard deviation of the log returns.
It is indeed a very good estimator (unbiased, ...) when the sample is large.
But I don't like it for small sample as it tends to overweight outliers in log returns.
Do you know if any other statistical dispersion measure that can be use to estimate the volatility of a stock? (I don't care about statistical properties; I just want it to estimate differently / better the daily risk of this stock.)
PS: I have already tried to use the norm 1 instead of the Euclidean norm. Any other idea / remark?