According to the actual performance of the market and referring to some methods in Coherent Market Hypothesis, this paper establishes a computable nonlinear statistical method, Classified Market Model, to calculate the VaR of Shanghai Composite Index. 根据市场的实际表现,借鉴协同市场假说的某些方法,建立一种可以实施计算的非线性统计方法&分类市场模型来计算上证综指的VAR。