How Volatile is ENSO?

LanFen Chu, Michael McAleer and Chi-Chung Chen

No EI 2009-18, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), 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: EGARCH; ENSO; GARCH; GJR; SOI; SOT; Volatility (search for similar items in EconPapers)
JEL-codes: C22 Q25 Q29 (search for similar items in EconPapers)
Date: 2009-08-18
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repub.eur.nl/pub/16513/EI2009-18.pdf (application/pdf)

Related works:
Working Paper: How Volatile is ENSO? (2011)
Working Paper: How Volatile is ENSO? (2010)
Working Paper: How Volatile is ENSO? (2010)
Working Paper: How Volatile is ENSO? (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:16513

Access Statistics for this paper

More papers in Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Contact information at EDIRC.
Bibliographic data for series maintained by RePub ( this e-mail address is bad, please contact ).