Risk Measurement by Using Value at Risk Criteria via GARCH Models (A study of Stock of listed Companies on Tehran Stock Exchange (TSE) in the cement industry)

All investors in the stock exchange are faced with risks. Thus، the measurement of risk is the most important matter for investors. This study deals with the measurement of risk by using Value at Risk (VaR) criteria via GARCH models. For this study the stock of the listed companies of the cement industry on Tehran Stock Exchange in period between 2010 to 2012 was considered. Results show that the GARCH models has good performance in estimating VaR in the stock of listed companies and it can be concluded that the GARCH (1،1) model with the t-student distribution is optimal for majority of the listed companies. The results of this research can lead to favorable outcomes for risk management decisions.