Moroccan MASI Index Shows 13‑Fold Spike in Volatility After Negative Shocks

A new econometric study of daily MASI returns from January 2025 to May 2026 reveals that the Moroccan market reacts far more sharply to bad news than to good news. Using a GJR‑GARCH(1,1) model, analysts found an asymmetry coefficient of 0.60, meaning negative shocks increase volatility almost 13 times more than positive ones. The spikes coincide with the 2025 US‑China trade‑tension episode and the February 2026 Iran conflict, underscoring the growing sensitivity of the MASI to geopolitical risk.

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