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Out-of-sample forecasting of the Canadian unemployment rates using univariate models |
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| Authors: | Zameelah Rifkha Khan Jaffur Noor-Ul-Hacq Sookia Preethee Nunkoo Gonpot Boopendra Seetanah |
| Institution: | 1. Department of Mathematics, Faculty of Science, University of Mauritius, Réduit, Mauritius;2. Department of Finance and Accounting, Faculty of Law and Management, University of Mauritius, Réduit, Mauritius |
| Abstract: | This article investigates the out-of-sample forecasting performance of some linear and nonlinear univariate time series models on the monthly seasonally adjusted Canadian unemployment rates during the 1980–2013 period. The findings reveal that nonlinear time series models better capture the asymmetry present in the unemployment rate series at short and long forecast horizons. |
| Keywords: | Canada unemployment rates forecasting ARMA models GARCH models |