Year: 2010
Type: report
Abstract: The El Ninos 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.
Authors: Lan-Fen Chu, Michael McAleer, Chi‐Chung Chen
Language: English
Subfield: Global and Planetary Change
Field: Environmental Science
Domain: Physical Sciences
SDG: Climate action
Open Access status: green
OpenAlex ID: W3023318615