Analysis of the Effectiveness of Classical Models in Forecasting Volatility and Market Dynamics: Insights from the MASI and MASI ESG Indices in Morocco

Oumaima Hamou (), Mohamed Oudgou and Abdeslam Boudhar
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Oumaima Hamou: ENCG Béni Mellal, LAREMO, University Sultane Moulay Slimane, Béni Mellal 9MCP+M4, Morocco
Mohamed Oudgou: ENCG Béni Mellal, LAREMO, University Sultane Moulay Slimane, Béni Mellal 9MCP+M4, Morocco
Abdeslam Boudhar: ENCG Béni Mellal, LAREMO, University Sultane Moulay Slimane, Béni Mellal 9MCP+M4, Morocco

JRFM, 2025, vol. 18, issue 7, 1-43

Abstract: This research evaluates the effectiveness of traditional models in predicting movements in the Moroccan financial market, with a focus on the MASI and MASI ESG indices. As environmental, social, and governance (ESG) criteria gain prominence in financial analysis, this study examines the strengths and limitations of conventional predictive models. The findings reveal a significant correlation between the two indices while underscoring the challenges traditional models face in effectively integrating extra-financial dimensions, particularly environmental and social factors. These limitations hinder their ability to fully capture the complexities of the Moroccan financial market, where ESG considerations are increasingly shaping economic trends. Given these constraints, the study emphasizes the need for more advanced forecasting tools, particularly models that comprehensively incorporate ESG factors. Such advancements would enhance the understanding of ongoing economic transformations and address emerging challenges. By refining these tools, predictive models could become more relevant and better equipped to meet the specific demands of Morocco’s evolving financial landscape.

Keywords: sustainable finance; MASI Index; MASI ESG index; volatility modeling; stock market prediction (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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