Currency Exchange Rate Forecasting with ARIMA and STL

I have made an example of time series forecasting with R, demonstrating currency exchange rate forecasting with the ARIMA and STL models. The example is easy to understand and follow.

R source files are provided to run the example.

The example was produced with R Markdown. If you want to learn R Markdown, you can try the Rmd source file, which is also provided.

Check the example and source files at http://www.rdatamining.com/examples/time-series-forecasting

forecasting-STL2

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About Yanchang Zhao

I am a data miner, using R for data mining applications. My work on R and data mining: RDataMining.com; Twitter; Group on Linkedin; and Group on Google.
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3 Responses to Currency Exchange Rate Forecasting with ARIMA and STL

  1. tom says:

    It would be interesting to see how accurate and useful the forecast and trend would be if a training and test set were developed. For example, what would have happened if you uses the first 60% of the data to develop the model and the remaining 40% to test the accuracy. Is it better than a naive forecast, is this just a curve fit ?

  2. Pingback: Currency Exchange Rate Forecasting with ARIMA a...

  3. Thanks, Tom. It is a good idea. Will reserve the latest 1 month data for evaluation in my next example.

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