The issue of currency risk management for non- nancial rms is always important and is usually dealt by their corporate treasuries. Exchange rate risk management is an integral part in every rm's decision about foreign currency exposure. However, the currency changes can a ect all of us, whether we are actively trading in the foreign exchange market, shopping online for goods from another country, making investments in di erent currencies or just buying food or other things imported from abroad. Making the analyze of the time series of the daily exchange rates we must deal and follow all the parameters that have in uences to the exchange rates. The value of a currency depends on factors that a ect the economy, such as trade, in ation, employment, interest rates, growth rate and other. In this research paper we use some statistical methods in order to analyse the exchange rate uctuations and to make some prediction.