The high frequency of financial crises make the risk management of financial asset become the focus of the financial investors and scholars. The traditional VaR based on assumption about the normal distribution of yield is not suitable for the real thing in China. The characteristics of stock market yield in China is fat tail and non-symmetry. In this paper, the dynamics of VaRs based on TARCH model with the skew t distribution are computed and analysed. And then failure rate of VaRs are compared under normal distribution, student's-t distribution and GED distribution. The results show that the most accurate VaR is the one with the skew t distribution, which describes the reality of the stock market better than others.