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How Volatile is ENSO?


Chu, LanFen y McAleer, Michael y Chen, Chi-Chung (2011) How Volatile is ENSO? [ Documentos de trabajo del Instituto Complutense de Análisis Económico; nº 21, 2011, ] (No publicado)

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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 the volatility inherent in ENSO. 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 accurately. The empirical results show that 1998 is a turning point, which indicates that the ENSO strength has increased since 1998. Moreover, the increasing ENSO strength is due to the increase in greenhouse gas emissions. The ENSO strengths for SST are predicted for the year 2030 to increase from 29.62% to 81.5% if global CO2 emissions increase by 40% to 110%, respectively. This indicates that we will be faced with an even stronger El Nino or La Nina in the future if global greenhouse gas emissions continue to increase unabated.

Tipo de documento:Documento de trabajo o Informe técnico
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The authors are most grateful to the Editor and three referees for helpful comments and suggestions. The second author acknowledges the financial support of the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.

Palabras clave:ENSO, SOI, SOT, Greenhouse Gas Emissions, Volatility, GARCH, GJR, EGARCH.
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico
Código ID:12871

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