Forecast Exchange Rates 

The daily exchange rates of euro to dollar from May 2012 through September 2012.

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X data = TemporalData[ FinancialData["EUR/USD", {{2012, 5, 1}, {2012, 9, 30}}]]["Part", All, {{2012, 5, 1}, {2012, 9, 30}}];

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X DateListPlot[data["Path"], Joined -> True, Filling -> Bottom, ImageSize -> 350]

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Find parameters for an ARIMAProcess model.

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X eproc = EstimatedProcess[data, ARIMAProcess[40, 2, 0]]

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Forecast for 20 business days ahead.

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X forecast = TimeSeriesForecast[eproc, data, {20}]

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Plot the forecast with the original data.

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X DateListPlot[{data["Path"], forecast["Path"]}, Joined -> True, Filling -> Axis, PlotLabel -> "EUR/USD", ImageSize -> 350]

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