Oil and petrochemical industry as one of the important industries is the country's economy driving and many investors are willing to invest in this industry. With regard to the transfer of a large part of the shares of companies active in this industry in Stock Exchange, investors can invest in this area through the purchase and the transaction of value of the assets of these companies. However, one of the main challenges in field of investment in this industry is lack of knowledge of the industry market risk in these areas than other areas. Therefore, the present study we attempted to provide a model developed to extraction of the stock market risk for active companies in the field of oil and oil products. Oslo we compared risk of this companies with market risk. The results show that the return of industries follow from regime transfers and have got the asymmetric structure based on abnormal distributions. Also the return risk of both Rubber and petroleum industry was less than the return risk of total index, but the risk of chemical industry was greater than risk of total index.