Renewable energy industry not only has a promising future but also has more risk than conventional energy industry because of its characteristics. Therefore, in this study, an analysis of domestic renewable energy company risk has been performed. The risk of domestic wind and photovoltaic energy companies has been analyzed by using time varying beta model. The model has been constructed based on risk factors like firm size, firm diversification index, domestic installation, and so on. The principal result of analysis can be summarized as follows. First, risk factors affect domestic renewable energy companies have been discovered. Variables like firm size, growth rate of debt ratio, firm diversification index are statistically significant. I found that large firms are less riskier than small firms. It is also confirmed that companies with high diversification index and high debt ratio have high risk. Second, I got the result that policy factors like domestic renewable energy installation and government R&D expenditure could decrease risk of domestic renewable energy company. Third, relative sensitivity of each risk factor have been discovered. The effect of each variable gets bigger in this order: growth rate of domestic installation, firm size or diversification index, growth rate of debt ratio, growth rate of government R&D expenditure.