Abstarct: Creating models for the fluctuations of strong and efficient financial markets is one of the important criteria for evaluating the economic development of each country. Stock Exchange is one of those strong financial markets, and the economic consequences of its outcome have an effect on the economic balance of the whole society. Gaining the maximum return is the purpose of investing in this market. On the other hand, precise risk assessment of these markets is of vital importance; hence, models of risk management have been recommended over the previous decades. Besides, the value of stock markets does not always change gradually, but may face sudden changes and fluctuations, which can cause disorders and disturbances for the decisions of the managers and investors. Therefore, behavior of the model in the moments of distribution, provides important information for risk management and for the investors. Since there has not been any comprehensive research in our country on creating model for the return fluctuations and risk in Stock Exchange, creating model of and recognizing the pattern of return fluctuations in Tehran Securities can be a proper step in making investing and policy-making decisions. In this thesis, our main purpose is to know whether or not the time-dependent variable fluctuations, which is one of the main features of the financial markets, can explain the rule of the asset return power with high abundance. Also, we will provide evidence indicating that the time-dependent variable fluctuations can assign to itself the feature of the rule of stock return power with high abundance. Specifically, we realize that a simple conditional model with nonparametric fluctuations can provide strong proportion.