This paper calculates the VaR of copper futures’ market in SHFE and LME by using the EGARCH-GED model and then checks the spillover effects with Granger causality test and impulse response function.The empirical result shows that these two markets’ risks are Granger causality for one another in sub-sample one under the confidence level of 95% and 90%,while only LME copper futures’ market risk is the Granger causality of SHFE one in sub-sample one’s 99% confidence and in sub-sample two’s and total samples are the all three confidence level.Meanwhile,LME has an interactive response but SHFE has not when facing a standard innovation,which indicates that domestic economic situation is better than that in foreign countries.