  Throughout the past year, Turkey's central bank policy to decrease the
nominal interest rate has caused episodes of severe fluctuations in Turkish
lira exchange rates. According to these conditions, the daily return of the
USD/TRY have attracted the risk-taker investors' attention. Therefore, the
uncertainty about the rates has pushed algorithmic traders toward finding the
best forecasting model. While there is a growing tendency to employ
sophisticated models to forecast financial time series, in most cases, simple
models can provide more precise forecasts. To examine that claim, present study
has utilized several models to predict daily exchange rates for a short
horizon. Interestingly, the simple exponential smoothing model outperformed all
other alternatives. Besides, in contrast to the initial inferences, the time
series neither had structural break nor exhibited signs of the ARCH and
leverage effects. Despite that behavior, there was undeniable evidence of a
long-memory trend. That means the series tends to keep a movement, at least for
a short period. Finally, the study concluded the simple models provide better
forecasts for exchange rates than the complicated approaches.
