A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate

Zhongxiang Huang

doi:10.47297/wspceWSP2516-251925.20261002

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A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate

10卷第2期

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A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate
A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate
San Jose State University, Mathematics, San Jose, CA, 95192, USA
2026年10卷第2期页码：123-126
纸质出版：2026-04-30
DOI：10.47297/wspceWSP2516-251925.20261002
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Zhongxiang Huang. (2026). A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate. 创意经济（英文版）, 10(2), 123-126.

Huang Zhongxiang.A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate[J].Creative Economy,2026,10(02):123-126.
Zhongxiang Huang. (2026). A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate. 创意经济（英文版）, 10(2), 123-126. DOI： 10.47297/wspceWSP2516-251925.20261002.

Huang Zhongxiang.A Comparative Analysis of GARCH Models for Exchange Rate Volatility: Evidence from the USD/PEN Rate[J].Creative Economy,2026,10(02):123-126. DOI： 10.47297/wspceWSP2516-251925.20261002.

摘要

Abstract

Volatility of exchange rate is very important in the financial markets activities. In this respect

this research aims at using the GARCH model family that is

GARCH

EGARCH

and GJR-GARCH to investigate the exchange rate volatility dynamics in the case of USD/PEN currency pairs. The sample we choose to compute log returns is the daily exchange rate from 2015 to 2024. The parameters of models are estimated by the maximum likelihood method. To compare the effectiveness of three models

we used several indicators to measure. We found that the volatility is asymmetry

which means negative information affects exchange rate volatility more than positive information. The EGARCH model outperforms other models in terms of performance and forecasting exchange rate dynamics.

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Keywords

references

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