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Forecasting USDTRY rate by ARIMA method

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  • Cenk Ufuk Yıldıran
  • Abdurrahman Fettahoğlu

Abstract

This paper conducts a USDTRY rate forecast by ARIMA method using 3,069 daily observations between the dates of 3 January 2005 and 8 March 2017 and generates both long-term and short-term models. Existing works related to USDTRY rate forecast using ARIMA method generate static models, and none of them conduct multi-step prediction or out of sample fit. The work described in this paper, however, applies dynamic model generation and conducts multi-step ahead prediction for out of sample observations. In forecasts performed in this work for USDTRY rate, the short-term ARIMAs outperform the long-term ARIMAs in predicting accuracy. Specifically, for the short-term ARIMAs appropriate specification is raised as ARIMA (2,1,0); on the other hand, for the long-term ARIMAs, the best order is emerged as ARIMA (0,1,1).

Suggested Citation

  • Cenk Ufuk Yıldıran & Abdurrahman Fettahoğlu, 2017. "Forecasting USDTRY rate by ARIMA method," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1335968-133, January.
    • Handle: RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1335968
    DOI: 10.1080/23322039.2017.1335968
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