This paper applies ARMA(1,1)GARCH(1,1) and ARMA(1,1)GJR(1,1) to constructing standardized residuals series based on the loss series of closed indices of stock markets, uses EVT to model extreme tails of standardized residuals and estimate dynamic extreme VaR based on stochastic volatility model. The paper finally tests contagion effect of dynamic extreme VaR series. Our results show that there exists contagion effect between dynamic extreme VaR of the Chinese Shanghai and Shenzhen stock market and the contagion of dynamic extreme risk is stronger form Shanghai stock market to Shenzhen than the contagion from Shenzhen to Shanghai.