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Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models

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  • Hassan Mohammadi
  • Daniel Rich

Abstract

Time-series analysis of weekly initial claims over 1967–2012 reveal the following: (1) Initial claims are highly seasonal and cyclical, but do not follow a specific trend. Seasonality follows a “W” pattern over the 52 week period. (2) Initial claims are subject to conditional volatility and volatility clustering. The EGARCH and CGARCH specifications provide reasonable representations of the conditional volatility. The former suggests the existence of asymmetries in conditional variance. The latter implies that both permanent and transitory shocks affect volatility, but the effect of permanent shocks is more pronounced. (3) Both models perform well in terms of forecasting as well as within- and out-of-sample model selection criteria. Copyright International Atlantic Economic Society 2013

Suggested Citation

  • Hassan Mohammadi & Daniel Rich, 2013. "Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 41(4), pages 413-425, December.
    • Handle: RePEc:kap:atlecj:v:41:y:2013:i:4:p:413-425
    DOI: 10.1007/s11293-013-9393-z
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    References listed on IDEAS

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    Cited by:

    1. Viktor Stojkoski & Petar Jolakoski & Igor Ivanovski, 2021. "The short‐run impact of COVID‐19 on the activity in the insurance industry in the Republic of North Macedonia," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 24(3), pages 221-242, September.

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    More about this item

    Keywords

    Weekly initial claims; Conditional mean; Conditional variance; GARCH; C10; J21;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure

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