How Volatile is ENSO

Lan-Fen Chu, Michael McAleer, Chi-Chung Chen
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
more » ... he volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO strength has increased.
doi:10.2139/ssrn.1442229 fatcat:t25kxeio45h6fcosqcc3k36ieq