I've done this kind of thing many times with codex and sqlite, and it works very well. It's one prompt that looks something like this:

- inspect and understand the downloaded data in directory /path/..., then come up with an sqlite data model for doing detailed analytics and ingest everything into an sqlite db in data.sqlite, and document the model in model.md.

Then you can query the database adhoc pretty easily with codex prompts (and also generate PDF graphs as needed.)

I typically use the highest reasoning level for the initial prompt, and as I get deeper into the data, continuously improve on the model, indexes, etc., and just have codex handle any data migration.