Macao's gaming economy depends on a single activity and a single source market, yet no composite monthly risk indicator exists to signal when the system operates outside its normal risk envelope. This paper constructs the Macao Gaming Risk Index (MGRI), integrating six components spanning internal volatility dynamics, structural co-movement between visitor arrivals and gaming revenue, and external macro signals. SHAP decomposition across gradient boosting and random forest models consistently identifies overnight visitor volatility and the post-pandemic correlation deviation as dominant risk drivers. Event validation confirms detection of quantitative market-channel shocks while revealing a systematic boundary: behavioural administrative shocks are not identifiable through aggregate volume indicators. High-risk signal months exhibit substantially worse downside outcomes than normal months, providing a quantitative basis for fiscal buffer design. The MGRI offers government, operators, and researchers a unified, interpretable framework for forward-looking risk monitoring in concentrated destination economies.
