This research opens up a totally new perspective and methodology to study Macau economy. It focuses on the stability instead of the traditional growth of Macau economy and adopts sophisticated econometric techniques to express the economic stability indicator in terms of volatility. In this research, the relationship between industry diversification and economic stability and sustainability is further examined and confirmed. And other determinations of the economic volatility in fiscal, monetary and trade aspects are also carefully reviewed. All those findings have provided scientific guidelines for the policy making of the government. Firstly, I adopt entropy and Herhindahl indexes to express the degree of industry diversity of Macau. Then, ARIMA and GARCH models are used to accurately measure the output volatility. Later, I examine the relationships between output volatility and industry diversity and the situations of specific GDP compositions reflecting the fiscal, monetary and trade mechanisms through empirical techniques. Finally, related suggestions for Macau government are proposed.