For stylized facts characteristics such as fat tail distribution and long memory of conditional volatility for financial return series，this paper used FIGARCH model to conditional volatility，and then used extreme value theory ( EVT) model extreme tail of standard returns to measure dynamic risk． We find that all condi-tional return distributions and their standardized returns are skews and fat-tailed; Conditional volatilities of financial returns are characters of long memory，EVT are fit extreme tails of financial standardized returns． We introduce EVT and FIGARCH model to calculate dynamic risk for different financial markets，and applied Back-testing to check measurement ability，our result show that this risk measurement method is of accuracy either in sample or out of sample．