How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen
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LanFen Chu: Institute of Economics, Academia Sinica
Chi-Chung Chen: Department of Applied Economics, National Chung Hsing University

No CIRJE-F-635, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The El Ninos 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.

Date: 2009-08
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Working Paper: How Volatile is ENSO? (2009)
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