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As a gauge of financial risks, the VaR model can be used to measure the investment risks in the futures market. According to the data from Shanghai copper futures in the last fifteen years, we analyzed the VaR level of the market through employing the static VaR model, the GARCH (1,1) model, and the EVT model successively. The back testing and comparison of the respective results obtained by the above analyses indicate that the static VaR model does not work effectively to measure the risks, but the combination of GARCH (1,1) and EVT models is the better solution to the risk management. [ABSTRACT FROM AUTHOR]