Forecasting USDTRY rate by ARIMA method

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).