Paper Title

PREDICTION OF THE NET ASSET VALUES OF INDIAN MUTUAL FUNDS USING AUTO- REGRESSIVE INTEGRATED MOVING AVERAGE(ARIMA)

Authors

E. Priyadarshini

A. Chandra

Keywords

auto correlation function (acf)
partial autocorrelation function (pacf)
net asset value (nav)
forecasts
stationarity.

Article Type

Research Article

Journal

Journal of Computer Applications Research and Development

Issue

Volume : 1 | Issue : 1 | Page No : 43 - 48

Published On

June, 2011

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Abstract

Mutual funds are fast emerging as India’s investment vehicle of choice. As there are a variety of investors in all types of fund schemes, the competition is very intense in the present scenario. ARIMA method is one of the most sophisticated extrapolation methods for forecasting. In this paper, some of the mutual funds in India had been modeled using Box-Jenkins autoregressive integrated moving average (ARIMA) methodology. Validity of the models was tested using standard statistical techniques and the future NAV values of the mutual funds have been forecasted.