How Volatile is ENSO
31 Pages Posted: 2 Aug 2009 Last revised: 4 Sep 2009
Date Written: August 1, 2009
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
JEL Classification: Q25, Q29, C22
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
El Nino and World Primary Commodity Prices: Warm Water or Hot Air?
-
El NiñO and World Primary Commodity Prices: Warm Water or Hot Air?
-
El Nino and World Primary Commodity Prices: Warm Water or Hot Air?
-
Regional Business Cycles in New Zealand: Do They Exist? What Might Drive Them?
By Viv Hall and C. John Mcdermott
-
Cataclysms and Currencies: Does the Exchange Rate Regime Matter for Real Shocks?
-
How Big are the Benefits of Economic Diversification? Evidence from Earthquakes
-
The Inflation-Capacity Utilization Conundrum: Evidence from the Canadian Economy