I need to compare the accuracy of time series modeling and neural network techniques. As we all know, large data set is needed for neural networks. Since I'm comparing both techniques, I have to consider equal size for both. I have 5 years of daily exchange rates for the analysis.
Time series plot of 5 years daily exchange rates which shows positive and negative trends is reproduced below.
So, my question is: Can I fit a single time series model for the entire data set? If not, what is the procedure to fit time series model to such data? I have heard that a data set can be divided into subsamples. If so what is the method to perform sampling of the original data set?