In recent years, financial markets have been rapidly developing under the promotion of financial integration and economic globalization. At the same time, it brought unprecedented volatility to the financial market. How to deal with increasingly serious risks had become a major problem. As an important indicator for risk measure, VaR had already penetrated into the depths of China's every financial field. It is also an important indicator for reliability risk considerations. This article utilizes the VaR model to tackle and research the various yields of China's industry sectors. Based on the results, the VaR method could effectively predict the future trends of a stock, regardless of its industry sector. However, its accuracy is affected depending on the time periods and confidence levels studied. By using constantly changing the time periods and confidence levels, one could receive a more accurate stock market forecast.