In risk management, foreign investors or multinational corporations are highly interested in knowing how volatile a currency is in order to hedge risk. In this chapter, using daily exchange rates and the exponential weighted moving average (EWMA) model, we perform volatility forecasting. We will investigate how the use of the available time series affects the forecasting, i.e. how reliable our forecasting is depending on the period of available data used. We will also test the effects of the decay factor appearing in the model used on the forecasts. The results show that, forthe data used, it is optimal to use a larger value of the decay factor and also, for longer out-of-sample periods, the forecasts get closer to reality.