How Volatile is ENSO?
AbstractThe El NiÃ±os 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.
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Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2009-18.
Date of creation: 18 Aug 2009
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GARCH; Volatility; EGARCH; GJR; ENSO; SOI; SOT;
Other versions of this item:
- LanFen Chu & Chi-Chung Chen & Michael McAleer, 2010. "How Volatile is ENSO?," Working Papers in Economics 10/31, University of Canterbury, Department of Economics and Finance.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2011. "How Volatile is ENSO?," Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico 2011-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2009. "How Volatile is ENSO?," CIRJE F-Series CIRJE-F-635, CIRJE, Faculty of Economics, University of Tokyo.
- LanFen Chu & Michael McAleer & Chi-Chung Chen, 2010. "How Volatile is ENSO?," KIER Working Papers 729, Kyoto University, Institute of Economic Research.
- NEP-ALL-2009-08-30 (All new papers)
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