An Application Of Exchange Rate Forecasting In Turkey

In this study, exchange rate forecasting is studied which plays a key role in free market systems. Official daily data of Central Bank of The Republic of Turkey (CBRT) are used for USD/TL ($/TL), EURO/TL (€/TL) and POUND/TL (£/TL) pars. Moving averages (MA) method, single exponential smoothing method, Holt’s method, Winter’s method and ARIMA models are applied to the each pars, Performance of the models are assessed with the performance criteria of mean absolute percentage error (MAPE), root mean square errors (RMSE) and mean square error (MAE). As a result of study, successfully application of the methods based on trend analysis is exhibited for exchange rates in Turkey. According to MAPE, RMSE and MAE criteria, the best results are obtained by Winter’s method which means that Winter’s method is the most appropriate method to forecast exchange rates for the given time interval in Turkey.