We investigate the quench dynamics of a quantum dot strongly coupled to spin-polarized ferromagnetic leads. The real-time evolution is calculated by means of the time-dependent density-matrix numerical renormalization group method implemented within the matrix product states framework. We examine the system's response to a quench in the spin-dependent coupling strength to ferromagnetic leads as well as in the position of the dot's orbital level. The spin dynamics is analyzed by calculating the time-dependent expectation values of the quantum dot's magnetization and occupation. Based on these, we determine the time-dependence of a ferromagnetic-contact-induced exchange field and predict its nonmonotonic build-up. In particular, two time scales are identified, describing the development of the exchange field and the dot's magnetization sign change. Finally, we study the effects of finite temperature on the dynamical behavior of the system. arXiv:1903.10381v1 [cond-mat.mes-hall]