Volatility in Loss of Employment in Malaysia during the Covid-19 Pandemic: Evidence using GARCH-M, EGARCH-M, TGARCH-M and PGARCH-M Models

The purpose of the present study is to investigate whether the news on Covid-19 new cases and new deaths are drivers in the volatile movements in the daily loss of employment in the Malaysian labour market. This paper provides a novel evidence using real time administrative data on the loss of employment in Malaysia for the period 1 January 2020 to 31 December 2020.