How Volatile is ENSO?

L.F. Chu, Michael McAleer and Chen, C-C.
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Chen, C-C.: Erasmus Econometric Institute

No EI 2009-18 Revision_Date: 2009-11-06, Econometric Institute Report from Erasmus University Rotterdam, Econometric Institute

Abstract: The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index. The main purpose of this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO strength has increased.

Keywords: ENSO; SOI; SOT; Volatility; GARCH; GJR; EGARCH (search for similar items in EconPapers)
Date: 2009-08-18

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Working Paper: How Volatile is ENSO? (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:eureir:1765016513

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