Open AccessModelling changes in volatility in the North Atlantic oscillation
Author(s) -
Mills Terence C.
Publication year - 2004
Publication title -
atmospheric science letters
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.951
H-Index - 45
ISSN - 1530-261X
DOI - 10.1002/asl.66
Subject(s) - volatility (finance) , long memory , index (typography) , econometrics , conditional variance , forward volatility , stochastic volatility , series (stratigraphy) , implied volatility , climatology , mathematics , environmental science , computer science , autoregressive conditional heteroskedasticity , geology , world wide web , paleontology
The NAO index constructed from 1659 by Luterbacher et al. (2002) is analysed using time series techniques designed to model long memory and volatility. The index is found to have a positively correlated short memory in mean and to exhibit long memory in conditional variance: the ‘volatility’ of the series. Copyright © 2004 Royal Meteorological Society