Abstract: This article uses FIGARCH model to handle the heteroscedasticity and long memory behavior in return's volatility.At the same time,it transfers return series into standard residuals and uses EV T-BM method to capture the fat tails of standard residuals Thus it deals with return's fat-tails trait in this way.Then,the paper constructs a dynamic VaR risk measure based on EV T-BM-FIGARCH and applies it to daily returns of composite index of Shanghai stock market.The empirical analysis indicates that the risk measure can describe the index return's dynamic VaR risk more exactly and reasonably.

Key words: EV T-BM, FIGARCH, fat tails, long memory, VaR