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How Volatile is ENSO?

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  • Chu, L.
  • McAleer, M.J.
  • Chen, C-C.

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.

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File URL: http://repub.eur.nl/pub/16513/EI2009-18.pdf
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Paper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 2009-18.

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Date of creation: 18 Aug 2009
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Handle: RePEc:ems:eureir:16513

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Keywords: EGARCH; ENSO; GARCH; GJR; SOI; SOT; Volatility;

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