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.

EGARCH, ENSO, GARCH, GJR, SOI, SOT, Volatility
Time-Series Models; Dynamic Quantile Regressions (jel C22), Water (jel Q25), Renewable Resources and Conservation: Other (jel Q29)
Erasmus School of Economics
hdl.handle.net/1765/16513
Econometric Institute Research Papers
Report / Econometric Institute, Erasmus University Rotterdam
Erasmus School of Economics

Chu, L, McAleer, M.J, & Chen, C-C. (2009). How Volatile is ENSO? (No. EI 2009-18). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–31). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/16513