The purpose from this research was to analyzed those optimum model with Autoregressive Conditional Heteroscsedasticity - Generalized Autoregressive Conditional Heteroscedasticity (ARCH-GARCH) from automotive sector shares and estimated the calculation investment risk analysis the Value at Risk method approach used 95% confidence level and holding period which provides information on maximum potential loss towards stock return value. Data From these research was secondary data for time series in form of monthly Shares return value from Astra Internasional, Astra Otoparts, Goodyear Indonesia, Gajah Tunggal, Indomobil Sukses Internasional, and Prima Alloy Steel Universal. Data was obtained from www.idx.co.id, yahoo.finance.com and other sources from December 2013 to August 2019.The risk analysis tool for calculating Value at Risk with Variance-covariance type. The Conclusion from these research results Was the data was stationary which does not had normal distribution and the longer the investment takes, the higher the loss rate. This research was expected to be useful for policy makers to consider decisions regarding investment decisions in automotive sector or related companies to develop Indonesian economy and this research was expected to broaden knowledge, views and information and could provide empirical evidence about Value At risk analysis Through ARCH–GARCH model

Keywords : Shares Return, Automotive Sector Shares, ARCHGARCH, VaR.