Impact of Asymmetric Volatility and Extreme Shocks on USD/PEN and EUR/PEN Exchange Rates (2015-2024): A Comparative Analysis Using GARCH Models
Description
The data presented consist of daily time series of USD/PEN and EUR/PEN exchange rates for the period from January 2015 to June 2024. These data were collected from official sources such as the Superintendencia de Banca, Seguros y AFP del Perú (SBS) . The purpose of the analysis is to evaluate asymmetric volatility in these currency pairs in response to extreme events like the COVID-19 pandemic, the war in Ukraine, and political instability in Peru. Research Hypothesis The study proposes that asymmetric econometric models like TGARCH, EGARCH, and PGARCH are more effective in capturing and predicting volatility generated by negative news and extreme shocks compared to symmetric models like GARCH. Key Findings There is a strong relationship between global geopolitical and economic events and fluctuations in exchange rates. Asymmetric models more accurately capture the sensitivity of currencies to negative news and extreme shocks. Exchange rate fluctuations directly affect investment decisions and hedging strategies in emerging markets. Data Collection The data were transformed using logarithms and differences to stabilize variance and ensure stationarity, which was validated through unit root tests (ADF). Additionally, a wavelet-based outlier detection method was implemented to ensure the accuracy of the models. Interpretation and Use of the Data These data are useful for: Predicting volatility in emerging markets. Designing hedging strategies in the face of financial uncertainty. Formulating public policies that mitigate the effects of exchange rate volatility.