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.
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