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Since Harry. M. Markowitz published "Portfolio Selection" 1952, financial academicians have proposed many methods to measure risk such as variant, downside-variant, average absolute deviation, maximum deviation, VaR and so on. However, these methods have a. common limitation. It is that they only consider the price moment. Because they don't consider the influence of exchange quantity, they can't effectively keep away the risk caused by unexpected event such as Southeast Asia financial crisis 1997 and recent global financial tsunami. In this paper, a new method of measuring risk which called time-varying risk has proposed. The goal of this method is to respond the usual risk as well as the risk caused by unexpected event. The time-varying risk is a kind of variable with time, not a constant, which is identical to people's sense to risk, so it has significant meaning to practice. [ABSTRACT FROM AUTHOR]