Author(s)

Wu Yutan

Corresponding Author

Wu Yutan

ABSTRACT

In recent years, various types of funds, mainly investment funds, have developed rapidly in the global financial market. The unit net value of fund can reflect its income status and use it as a criterion for whether to buy and which fund to buy. Therefore, the research on the unit net value of fund has important application value. The H-P filtering method is a time series analysis method in the state space, which is equivalent to the minimization of the fluctuation variance. This article is based on the H-P filtering analysis to predict the unit net value of fund. First obtain the volatility trend of NOHAIN Growth Hybrid Fund, and then establish the OLS regression model and the Tobit regression model to obtain the OLS regression fitting equation and the Tobit regression fitting equation. We respectively predicted the unit net value of fund after extending different periods under the two regression models, and compared the results of the two regression methods to obtain the same prediction results, thus verifying that the model has good robustness.

KEYWORDS

Fund unit, H-P filter method, the OLS regression, the Tobit regression