Dépôt numérique

Testing and modelling the volatility change in ENSO.

Modarres, Reza; Ouarda, Taha B. M. J. (2013). Testing and modelling the volatility change in ENSO. Atmosphere - Ocean , vol. 51 , nº 5. p. 561-570. DOI: 10.1080/07055900.2013.843054.

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The El Niño-Southern Oscillation (ENSO) is by far the most energetic climate signal. Any change in ENSO characteristics will have serious consequences for the global climate system. This work suggests a different view at the change in ENSO volatility in addition to change in its descriptive statistics. The volatility or the conditional variance of ENSO is tested and modelled using both the Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroscedasticity (ARMA-GARCH) error model and the GARCH model, to investigate the change in the short-run and long-run persistency of the second-order moment of ENSO before and after a change point detected by a Bayesian change point analysis. Nonparametric tests revealed a significant change in descriptive statistical characteristics such as the mean, the (unconditional) variance, and the probability distribution of ENSO after a change point in 1975. An Engle's test did not show heteroscedasticity in the random process (residuals) of the Southern Oscillation Index (SOI) time series before 1975 although heteroscedasticity increased and appeared after 1975. The GARCH model indicates an increasing short-run persistency after 1975 and decreasing long-run persistency. A seasonal shift in extreme heteroscedasticity is observed from summer to winter. In addition, the non-linearity and nonstationarity of the SOI volatility have increased in recent decades. This may be caused by an increase in frequency and magnitude of extreme volatilities after 1975. The results of this study indicate that ENSO has become more dynamic and uncertain in recent decades. The increase in the frequency of extreme events together with extreme conditional variance after 1975 may increase the prediction uncertainty of ENSO-driven climate phenomena.

Type de document:
Mots-clés libres: bayesian change point detection; climate change; conditional variance; GARCH; SOI; volatility
Centre: Centre Eau Terre Environnement
Date de dépôt: 06 déc. 2016 21:30
Dernière modification: 06 déc. 2016 21:30
URI: http://espace.inrs.ca/id/eprint/3474

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