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This study computes the value at risk (VAR) of metal ores and pharmaceutical industries in Tehran Stock Exchange by using parametric approach (GARCH Models) and semi-parametric approach (the combination of Wavelet Analysis and GARCH). The results and evaluation of two approaches confirms the hypothesis indicating better and more efficient performance of Semi-parametric approach compared with that of parametric methods. In fact, in high confidence levels, the semi-parametric approach proposed has lower MSE and failure rates compared to parametric approach. On the other hand, investing in pharmaceutical industry due to the increasing health needs, increase in life expectancy and its effect on public health is less-risky than that of metal ores industry.