I am an absolute Math Dummy but I'm sure there is a solution for my issue, but I didn't find any in the net. I would like to calculate the potential forward price for an equity by knowing what todays equity-price is and what the historic volatility of the last 30 days is. Assuming that the stock-price is currently at 100 and the 30day volatility is 10%, what would be the price-assumption for day1, day2, day3.... as each following day the spread of the price gets bigger, I assume the chart has to look like
or will it look like
because here the cone looks much different then I assume.
Any idea of a formula that would work in Excel? I think it is correct that I only go forward with the price the many days as the historic volatility is = 30day vola = 30day price assumption.
Thx in advance for any input
PS: I tried in the attacheded Excel, but I calculated 30d Volatility for the lower band of the forward pricing that gives me a much higher Vola then the historic vola is, shouldn't this be same at the end?