我国金融市场发展前景越来越受人瞩目,存在的风险越来越受人关注,为了测算风险,人们提出了很多方法,而VaR模型自诞生至今已经成为国外度量市场风险的主流方法.本文以深证综指数据为例,基于GARCH模型,得出VaR模型的适用性,从而VaR模型在实际的市场风险度量中起一定的指导作用. The prospect of financial market development in our country is getting more and more attention, and the risks are getting more and more attention. In order to measure the risks, many methods have been put forward, and the VaR model has been the mainstream measure of foreign market risk since it was born. As an example, based on the GARCH model, we get the applicability of the VaR model, and thus the VaR model plays a guiding role in the actual market risk measurement.