Volume : V, Issue : X, October - 2015
PREDICTION MODEL OF THE NET ASSET RETURNS OF INDIAN EQUITY FUND OF MUTUAL FUNDS WITH APPLICATION OF ARMA
M. Gowri, Malabika Deo
Abstract :
<p>&nbsp;As return is the central focus of any investment, finance researchers all the times have shown interest in doing modeling and forecasting of assets returns. Fund of Mutual funds are fast growing as India&rsquo;s investment vehicle of choice. As there are a variety of investors in all types fund of fund schemes, the competition among them is very intense and the investors choose funds on the forecasting of NAV returns and thus there is a need to identify right model for forecasting. Among various forecasting methods, ARMA method is considered one of the most useful extrapolation methods for forecasting the stock returns. In this paper, some of the Fund of Mutual Funds in India has been modeled using Box&ndash;Jenkins autoregressive moving average (ARMA) methodology. The modeling has been attempted on daily returns of four Growth oriented schemes. The NAV data from 1st April 2007 to 29th Feuary 2015 have been collected from the respective AMC websites. Validity of the models was tested using the future NAV returns of the fund of mutual funds with that of forecasted. The analysis showed that all the schemes in the forecasted sample showed the sustainable return.</p>
Keywords :
Auto Correlation Function (ACF) Partial Autocorrelation Function (PACF) Net Asset Value (NAV) Forecasts Stationarity
Article:
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DOI : 10.36106/ijar
Cite This Article:
M. Gowri, Malabika Deo Prediction Model of The Net Asset Returns
of Indian Equity Fund of Mutual Funds With
Application of Arma Indian Journal of Applied Research, Vol.5, Issue : 10 October 2015
Number of Downloads : 920
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M. Gowri, Malabika Deo Prediction Model of The Net Asset Returns of Indian Equity Fund of Mutual Funds With Application of Arma Indian Journal of Applied Research, Vol.5, Issue : 10 October 2015
<p>&lt;p&gt;&amp;lt;p&amp;gt;&amp;amp;lt;pre&amp;amp;gt;&amp;amp;lt;/pre&amp;amp;gt;&amp;lt;/p&amp;gt;&lt;/p&gt;</p>
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