I am not sure what you mean by forecast data? Do you mean forecast of the future that were made by various agencies or the private sector? If so you probably won't find such reports. If you want unemployment rates this site has them from 1947 on: http://www.bls.gov/cps/prev_yrs.htm
My guess is they do not exist before the 1930's given the small size of the federal government (who is primarily responsible for tracking them). You could contact the US Bureau of Labor Statistics and ask them.
I have never heard of the index you mention. I assume it is relatively recent, going back to the 30's you are almost certainly going to find much more basic information such as unemployment rates.
Yes I am trying to find historical (times series data) forecast of future unemployment rate that were made by various agencies or the private sector. I know it exists for GDP but I can't find it unemployment rate. Please help me ! Thanks!