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

### Like this:

Like Loading...

*Related*

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 ?

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

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