The article examines financial market risks using the VaR model. By analyzing data from the S&P 500 Index, the researchers measured risks through different methods like ARMA, GARCH, and POT models. They compared VaR values obtained from these models and tested their effectiveness. The study found that the volatility of the financial market has increased due to factors like internet finance and financial innovation. The COVID-19 pandemic in 2020 also had a significant impact on global financial markets. Properly measuring financial risks is crucial for effective risk management in the financial sector.