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How Volatile is ENSO
2009
Social Science Research Network
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
doi:10.2139/ssrn.1442229
fatcat:t25kxeio45h6fcosqcc3k36ieq