Estimate Value at Risk Return Tehran Stock Exchange Using wavelet analysis

Financial companies are constantly exposed to the dangers of risk. In the last few years for various reasons، measuring value at risk (VaR) has become increasingly important for financial firms. The study of multiple measures of risk، VaR measure with a new approach Provides for the calculation of market risk. Common approaches to risk measurement Due to the complex nature; Nonlinear and changing risk the have explanatory power of Weak and limited functionality. Thus، the study A new paradigm of semi-parametric Combining wavelet analysis and GARCH models are Using wavelet analysis Deals with the properties of multi-scale data. Experimental results show the superiority of the proposed method in this paper Compared to traditional approaches. So that this method leads a higher degree of reliability and accuracy of the estimates of the value at risk.