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

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.