基于H-P滤波法的基金单位净值变动及预测分析--以易方达国防军工混合基金为例  

The Variation and Forecast Analysis of the Net Value of Fund Unit Based on H-P Filtering Method--Taking E-Fund Defense Mixed Military Industrial Fund as an Example

作　　者：牟芃宇 MU Peng-yu(University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学,北京100029

出　　处：《中小企业管理与科技》2021年第18期104-107,共4页Management & Technology of SME

摘　　要：利用易方达国防军工混合基金近243个交易日的样本数据,论文研究了基金单位净值变动及预测。在利用一次移动平均法、H-P滤波法、OLS回归、Tobit模型后,研究结果主要有三:第一,该基金存在明显的双峰特征,具有较强的季节性变化;第二,该基金的长期趋势和周期波动曲线较平滑,约在第120个交易日和220个交易日存在波峰;第三,预测模型OLS回归中,核心参数是3.46×10-3,即表示该基金的长期趋势。Based on the sample data of the recent 243 trading days of E-Fund Defense Mixed Military Industrial Fund,this paper studies the variation and forecast of the net value of fund.After using the one-time moving average method,H-P filtering method,OLS regression and Tobit model,the research results are mainly three:firstly,the fund has obvious bimodal characteristics,with strong seasonal changes;secondly,the long-term trend and cyclical volatility curves of the fund are smooth,with peaks around the 120th and 220th trading days;thirdly,in the OLS regression of the forecast model,the core parameter is 3.46×10-3,which represents the long-term trend of the fund.

关 键 词：基金 单位净值 变动分析 基金预测 H-P滤波法 

分 类 号：F832.5[经济管理—金融学]