عنوان مقاله [English]
Today, economic activity in every business has got varying degrees of risks. In this case, some business risks are controlled and managed, while others are beyond the control of the firm. So risk can never be completely eliminated, and the only way to manage it. In financial economics literature, the first step to managing risk in the financial markets is identification and measurement of risk. In this area, one of the main challenges to measuring types of risks is the lack of a comprehensive, integrated and operational mechanism. In this we have suggested a mechanism to measure the return Risk of stock index for insurance companies listed in Tehran Stock Exchange by using Value at Risk manner based on the Markov chain process modeling in to GARCH family. This 6-stage mechanism has got benefits including the ability to considering the transfers regime, leverage effect, the feedback effect based on symmetric and asymmetric distributions. The results show that the return Risk of stock index for insurance industry follows form regime transfers. It has got both leverage and feedback effects. Oslo its regime behavior is based on” t distribution function”, and transferred between the regime with different possibilities.