scholarly journals El Niño and forecastability of oil-price realized volatility

2021 ◽  
Vol 144 (3-4) ◽  
pp. 1173-1180
Author(s):  
Elie Bouri ◽  
Rangan Gupta ◽  
Christian Pierdzioch ◽  
Afees A. Salisu
Keyword(s):  
El Niño ◽  
Southern Oscillation Index ◽  
El Nino ◽  
Southern Oscillation ◽  
Realized Volatility ◽  
Oil Price ◽  
Out Of Sample ◽  
Asymmetric Loss Function ◽  
Standard Tests

AbstractWe forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the El Niño Southern Oscillation (ENSO), as captured by the Equatorial Southern Oscillation Index (EQSOI). Based on the period covering 1986 January to 2020 December and studying various rolling-estimation windows and forecast horizons, we find that the EQSOI has predictive value for oil-price RV particularly at forecast horizons from 2 to 4 years, and for rolling-estimation windows of length 4 to 6 years. We show that this result holds not only based on standard tests of out-of-sample predictability, but also under an asymmetric loss function.

scholarly journals El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements

2021 ◽  
Vol 13 (14) ◽  
pp. 7987
Author(s):  
Mehmet Balcilar ◽  
Elie Bouri ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
El Niño ◽  
Predictive Value ◽  
El Nino ◽  
Southern Oscillation ◽  
La Niña ◽  
Realized Variance ◽  
La Nina ◽  
Out Of Sample ◽  
Heating Oil ◽  
Price Movements

We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Southern Oscillation Index (EQSOI). Using data from June 1986 to April 2021, we show evidence for several model configurations that both El Niño and La Niña phases contain information useful for forecasting subsequent to the realized variance of price movements beyond the predictive value already captured by the HAR–RV model. The predictive value of La Niña phases, however, seems to be somewhat stronger than the predictive value of El Niño phases. Our results have important implications for investors, as well as from the perspective of sustainable decisions involving the environment.

scholarly journals Role of the Indo-Pacific Interbasin Coupling in Predicting Asymmetric ENSO Transition and Duration

2012 ◽  
Vol 25 (9) ◽  
pp. 3321-3335 ◽  
Author(s):  
Masamichi Ohba ◽  
Masahiro Watanabe
Keyword(s):  
El Niño ◽  
General Circulation ◽  
El Nino ◽  
Southern Oscillation ◽  
La Niña ◽  
La Nina ◽  
The Pacific ◽  
Enso Asymmetry ◽  
Sst Anomalies

Warm and cold phases of El Niño–Southern Oscillation (ENSO) exhibit a significant asymmetry in their transition/duration such that El Niño tends to shift rapidly to La Niña after the mature phase, whereas La Niña tends to persist for up to 2 yr. The possible role of sea surface temperature (SST) anomalies in the Indian Ocean (IO) in this ENSO asymmetry is investigated using a coupled general circulation model (CGCM). Decoupled-IO experiments are conducted to assess asymmetric IO feedbacks to the ongoing ENSO evolution in the Pacific. Identical-twin forecast experiments show that a coupling of the IO extends the skillful prediction of the ENSO warm phase by about one year, which was about 8 months in the absence of the IO coupling, in which a significant drop of the prediction skill around the boreal spring (known as the spring prediction barrier) is found. The effect of IO coupling on the predictability of the Pacific SST is significantly weaker in the decay phase of La Niña. Warm IO SST anomalies associated with El Niño enhance surface easterlies over the equatorial western Pacific and hence facilitate the El Niño decay. However, this mechanism cannot be applied to cold IO SST anomalies during La Niña. The result of these CGCM experiments estimates that approximately one-half of the ENSO asymmetry arises from the phase-dependent nature of the Indo-Pacific interbasin coupling.

The essential role of early-spring westerly wind burst in generating the centennial extreme 1997/98 El Niño

2021 ◽  
pp. 1-38
Author(s):  
Tao Lian ◽  
Dake Chen
Keyword(s):  
El Niño ◽  
El Nino ◽  
Southern Oscillation ◽  
Low Frequency ◽  
Coupled Model ◽  
Early Spring ◽  
Strong Nonlinearity ◽  
Westerly Wind ◽  
Enso Dynamics

AbstractWhile both intrinsic low-frequency atmosphere–ocean interaction and multiplicative burst-like event affect the development of the El Niño–Southern Oscillation (ENSO), the strong nonlinearity in ENSO dynamics has prevented us from separating their relative contributions. Here we propose an online filtering scheme to estimate the role of the westerly wind bursts (WWBs), a type of aperiodic burst-like atmospheric perturbation over the western-central tropical Pacific, in the genesis of the centennial extreme 1997/98 El Niño using the CESM coupled model. This scheme highlights the deterministic part of ENSO dynamics during model integration, and clearly demonstrates that the strong and long-lasting WWB in March 1997 was essential for generating the 1997/98 El Niño. Without this WWB, the intrinsic low-frequency coupling would have only produced a weak warm event in late 1997 similar to the 2014/15 El Niño.

scholarly journals A first shallow firn-core record from Glaciar La Ollada, Cerro Mercedario, central Argentine Andes

2006 ◽  
Vol 43 ◽  
pp. 14-22 ◽  
Author(s):  
David Bolius ◽  
Margit Schwikowski ◽  
Theo Jenk ◽  
Heinz W. Gäggeler ◽  
Gino Casassa ◽  
...  
Keyword(s):  
El Niño ◽  
Southern Oscillation Index ◽  
El Nino ◽  
Southern Oscillation ◽  
Winter Precipitation ◽  
Time Span ◽  
Paleoclimate Reconstruction ◽  
Central Chile ◽  
Annual Layer ◽  
Firn Core

AbstractIn January 2003, shallow firn cores were recovered from Glaciar Esmeralda on Cerro del Plomo (33°14’S, 70°13’W; 5300 ma.s.l.), central Chile, and from Glaciar La Ollada on Cerro Mercedario (31°58’S, 70°07’W; 6070 ma.s.l.), Argentina, in order to find a suitable archive for paleoclimate reconstruction in a region strongly influenced by the El Nino-Southern Oscillation. In the area between 28°S and 35°S, the amount of winter precipitation is significantly correlated to the Southern Oscillation Index, with higher values during El Nino years. Glaciochemical analysis indicates that the paleo-record at Glaciar La Ollada is well preserved, whereas at Glaciar Esmeralda the record is strongly influenced by meltwater formation and percolation. A preliminary dating of the Mercedario core by annual-layer counting results in a time-span of 17 years (1986-2002), yielding an average annual net accumulation of 0.45 m w.e.

scholarly journals Influence of the 2015–2016 El Niño on the record-breaking mangrove dieback along northern Australia coast

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
S. Abhik ◽  
Pandora Hope ◽  
Harry H. Hendon ◽  
Lindsay B. Hutley ◽  
Stephanie Johnson ◽  
...  
Keyword(s):  
El Niño ◽  
El Nino ◽  
Southern Oscillation ◽  
Low Frequency ◽  
Multiple Linear Regression Model ◽  
Frequency Component ◽  
Enso Cycle ◽  
Northern Australia ◽  
Climate Conditions

AbstractThis study investigates the underlying climate processes behind the largest recorded mangrove dieback event along the Gulf of Carpentaria coast in northern Australia in late 2015. Using satellite-derived fractional canopy cover (FCC), variation of the mangrove canopies during recent decades are studied, including a severe dieback during 2015–2016. The relationship between mangrove FCC and climate conditions is examined with a focus on the possible role of the 2015–2016 El Niño in altering favorable conditions sustaining the mangroves. The mangrove FCC is shown to be coherent with the low-frequency component of sea level height (SLH) variation related to the El Niño Southern Oscillation (ENSO) cycle in the equatorial Pacific. The SLH drop associated with the 2015–2016 El Niño is identified to be the crucial factor leading to the dieback event. A stronger SLH drop occurred during austral autumn and winter, when the SLH anomalies were about 12% stronger than the previous very strong El Niño events. The persistent SLH drop occurred in the dry season of the year when SLH was seasonally at its lowest, so potentially exposed the mangroves to unprecedented hostile conditions. The influence of other key climate factors is also discussed, and a multiple linear regression model is developed to understand the combined role of the important climate variables on the mangrove FCC variation.

scholarly journals KAJIAN STATISTIK UKURAN BESAR BUTIR SEDIMEN DAN KAITANNYA DENGAN VARIABILITAS IKLIM MUSIMAN DAN TAHUNAN DI MUARA GEMBONG, TELUK JAKARTA

2019 ◽  
Vol 11 (3) ◽  
pp. 683-695 ◽  
Author(s):  
Taufik R. Syachputra ◽  
Ivonne M. Radjawane ◽  
Rina Zuraida
Keyword(s):  
El Niño ◽  
Southern Oscillation Index ◽  
El Nino ◽  
Southern Oscillation ◽  
El Nino Southern Oscillation ◽  
Dipole Mode ◽  
Australian Monsoon ◽  
Dipole Mode Index ◽  
Monsoon Index ◽  
Mode Index

Variabilitas iklim dapat mempengaruhi sifat sedimen yang terendapkan di dasar laut. Salah satu sifat sedimen yang dipengaruhi oleh iklim adalah besar butir. Penelitian ini bertujuan untuk menguji hubungan antara besar butir dengan variabilitas iklim menggunakan sampel core GM01-2010-TJ22 dari Muara Gembong, Teluk Jakarta, muara sungai Citarum. Sampel core diambil pada tahun 2010 dengan menggunakan Kapal Riset Geomarin I oleh Pusat Penelitian dan Pengembangan Geologi Kelautan (P3GL). Pengukuran besar butir dilakukan dengan menggunakan Mastersizer 2000. Hasil pengukuran ditampilkan dalam seri waktu dari tahun 2001 sampai 2010. Hasil analisis besar butir sampel sedimen dikorelasikan secara statistik dengan fenomena musiman (monsun), tahunan dan antar tahun (El Niño/La Niña dan Dipole Mode). Verifikasi data dilakukan dengan menggunakan data sekunder temperatur permukaan laut dari citra satelit di sekitar lokasi sampel dan data curah hujan di Bekasi. Hasil verifikasi menunjukkan bahwa peningkatan curah hujan di sekitar daerah hilir Sungai Citarum diikuti dengan penurunan temperatur permukaan laut dan peningkatan ukuran rata-rata besar butir. Hasil yang didapat dalam uji statistika menunjukkan bahwa perubahan ukuran besar butir sampel sedimen di Muara Gembong memiliki korelasi signifikan dengan Multivariate ENSO (El Niño Southern Oscillation) Index (MEI), Ocean Niño Index (ONI), Dipole Mode Index (DMI) dan Australian Monsoon Index (AUSMI). Hasil tersebut menunjukkan bahwa besar butir sedimen dasar laut potensial digunakan untuk mengetahui variabilitas iklim di sekitar Teluk Jakarta.

scholarly journals The Correlation of Southern Oscillation Index (SOI) with the Rainfall at Rainy and Dry Season Peak in Kintamani-Bangli Region period 1986-2015

2019 ◽  
Vol 20 (2) ◽  
pp. 6
Author(s):  
Wayan Mita Restitiasih ◽  
I Ketut Sukarasa ◽  
I Wayan Andi Yuda
Keyword(s):  
Correlation Coefficient ◽  
El Niño ◽  
Southern Oscillation Index ◽  
El Nino ◽  
Southern Oscillation ◽  
Management Plan ◽  
Correlation Study ◽  
Dry Season ◽  
Rainfall Data ◽  
The Relationship

A correlation study of the Southern Oscillation Index (SOI) on rainfall at the peak of the wet and dry season in the Kintamani-Bangli region has been carried out by taking SOI values and rainfall data for the period 1986-2015. The rainfall data used were recorded at 2 rain posts, namely Kembangsari and Kintamani. The research aimed to determine the relationship of fluctuations in the value of SOI with the intensity of rainfall, so that it can be used as a regional management plan when El Nino occurs. The method used in this study is correlation. The results obtained from the correlation that is the relationship between SOI value and rainfall in February were quite strong in the Kembangsari post with correlation coefficient of 0.409. Whereas for the Kintamani post the correlation obtained was weak with a correlation coefficient of 0.308. Then in August a weak correlation occurred in the Kembangsari post with a correlation coefficient of 0.2398 and was quite strong in the Kintamani post with a correlation coefficient of 0.4662. So that the influence of El Nino in the Kintamani area in February was more dominant in the Kembangsari post and in August at the Kintamani post.

The North Pacific Pacemaker Effect on Historical ENSO and Its Mechanisms

2019 ◽  
Vol 32 (22) ◽  
pp. 7643-7661 ◽  
Author(s):  
Dillon J. Amaya ◽  
Yu Kosaka ◽  
Wenyu Zhou ◽  
Yu Zhang ◽  
Shang-Ping Xie ◽  
...  
Keyword(s):  
El Niño ◽  
North Pacific ◽  
El Nino ◽  
Southern Oscillation ◽  
Deep Convection ◽  
Boreal Summer ◽  
Enso Events ◽  
The North ◽  
The North Pacific

Abstract Studies have indicated that North Pacific sea surface temperature (SST) variability can significantly modulate El Niño–Southern Oscillation (ENSO), but there has been little effort to put extratropical–tropical interactions into the context of historical events. To quantify the role of the North Pacific in pacing the timing and magnitude of observed ENSO, we use a fully coupled climate model to produce an ensemble of North Pacific Ocean–Global Atmosphere (nPOGA) SST pacemaker simulations. In nPOGA, SST anomalies are restored back to observations in the North Pacific (>15°N) but are free to evolve throughout the rest of the globe. We find that the North Pacific SST has significantly influenced observed ENSO variability, accounting for approximately 15% of the total variance in boreal fall and winter. The connection between the North and tropical Pacific arises from two physical pathways: 1) a wind–evaporation–SST (WES) propagating mechanism, and 2) a Gill-like atmospheric response associated with anomalous deep convection in boreal summer and fall, which we refer to as the summer deep convection (SDC) response. The SDC response accounts for 25% of the observed zonal wind variability around the equatorial date line. On an event-by-event basis, nPOGA most closely reproduces the 2014/15 and the 2015/16 El Niños. In particular, we show that the 2015 Pacific meridional mode event increased wind forcing along the equator by 20%, potentially contributing to the extreme nature of the 2015/16 El Niño. Our results illustrate the significant role of extratropical noise in pacing the initiation and magnitude of ENSO events and may improve the predictability of ENSO on seasonal time scales.

Role of El Niño Southern Oscillation (ENSO) in Extreme Event Related Adverse Health Outcomes in Maryland, USA

2016 ◽  
Vol 2016 (1) ◽  
Author(s):  
Sutyajeet Soneja* ◽  
Chengsheng Jiang ◽  
Jared Fisher ◽  
David Blythe ◽  
Clifford Mitchell ◽  
...  
Keyword(s):  
Health Outcomes ◽  
El Niño ◽  
Extreme Event ◽  
El Nino ◽  
Southern Oscillation ◽  
El Niño Southern Oscillation ◽  
El Nino Southern Oscillation ◽  
Adverse Health ◽  
Adverse Health Outcomes
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