{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T07:57:53Z","timestamp":1790582273605,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper examines how volatility and tail risk evolve on the Casablanca Stock Exchange (CSE) using the MASI 20 index from 2021 to 2026. By applying an EGARCH(1,1) model with a Student-t distribution, this study captures the volatility clustering and asymmetric leverage effects common in frontier markets. The research also estimates dynamic Value-at-Risk (VaR) across three investor currencies: the Moroccan Dirham (MAD), Euro (EUR), and US Dollar (USD). Backtesting demonstrates that while the model performs robustly for domestic and Euro investors, USD investors face significantly higher, often underestimated tail risk due to the Dirham's fixed-basket peg. Finally, a dynamic Volatility Targeting strategy is tested, improving the portfolio's Sharpe ratio from 0.07 to 0.25, while highlighting the real-world trading costs and liquidity constraints of executing this quantitative approach on the CSE.<\/jats:p>","DOI":"10.2139\/ssrn.7526420","type":"posted-content","created":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T07:38:02Z","timestamp":1790581082000},"source":"Crossref","is-referenced-by-count":0,"title":["Multi-Currency Risk Modeling and Volatility Targeting: Empirical Evidence from an EGARCH-Student Model on the MASI 20"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-9570-0833","authenticated-orcid":true,"given":"Omar","family":"Ait Benmessaoud","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,28]],"date-time":"2026-09-28T07:38:02Z","timestamp":1790581082000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7526420"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7526420","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}