RS-Copula function with structural change in tail is provided to describe non-linear dependence and tail dependence in financial markets.By the Combination of GARCH model with RS-Copula function,RS-Copula-GARCH model is constructed to study asymmetric tail dependence structure in Chinese stock markets.The empirical study showed that RS-Copula-GARCH model is superior to static copula model in describing dependence,especially tail dependence in financial markets.