1. A computer implemented method comprising computer-readable instructions stored on a non-transitory computer readable medium and executed on a computing device comprising hardware processor and a memory, for detecting zero-day privilege escalation malware in a computing environment, the method comprises: monitoring a plurality of key strokes and a plurality of mouse events performed on the computing device, and wherein the plurality of keystrokes is detected by a key logger, and wherein the plurality of mouse events are detected by a mouse event logger, and wherein the plurality of mouse events comprises a plurality of mouse movements and a plurality of mouse clicks; recording a display screen of the computing device on occurrence of each mouse click with a screen recorder; determining a correlation between the plurality of key strokes and the plurality of mouse movements to extract a first list of words using a first correlation engine, wherein the first list of words are typed using a keyboard; detecting newly initiated privileged processes in the computing environment using a process analysis module; identifying a newly initiated process as a zero day privilege escalation malware using the process analysis module when the newly initiated privilege process is not specified in a list of processes corresponding to the first list of words; determining a correlation between the plurality of mouse clicks and the recorded display screen using a second correlation engine to extract a second list of words; identifying a newly initiated process as a zero day privilege escalation malware using the process analysis module when the newly initiated privilege process is not specified in a list of processes corresponding to the second list of words; checking a presence of user control commands using the process analysis module in the plurality of newly initiated process that matches with the list of processes corresponding to at least one of the first list of words and the second list of words, and wherein the presence of user control commands is identified to confirm that the newly initiated process is a user initiated process; and identifying at least one of a newly initiated process from the plurality of newly initiated process as a zero day privilege escalation malware using the process analysis module when the user control commands are absent.