The aim of this study was to investigate the asymmetric effects of exchange rate shocks on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate shocks using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these shocks on the Stock index of Tehran Stock Exchange was estimated using the Generalized Method of Moments (GMM). Also, the effect of positive and negative shocks were separated and included as independent variables in the model. The results of fitting the model indicate that the effect of exchange rate volatilities on the Stock index of Tehran Stock Exchange is direct. The results of the model estimation showed that the effect of the positive and negative shocks of the exchange rate is asymmetric, so that the effect of the exchange rate increase on the Stock index of stock exchange is far greater than the effect of its reduction. Oil price volatilities have a direct relationship with the Stock index.