In Vietnam, the stock market has been in the period of strong adjustment, the price of the shares as well as the VN-Index is oscillation quite extraordinary. This trend makes finance investment activities in Vietnam contains many risks. So risk management model based on risk value model (VaR: Value at Risk) has quickly become an academic subject received special attention. Through the application of VaR model on the lists of the VN-Index, the authors show that the non-parameter model is almost inactive during the three periods studied, whereas the model parameters, especially the economic model of the form GARCH has provided fairly accurate predictions about risks on investment list.