Abstract: The complexity of the interaction between finance and real economy makes financial risks constantly face new challenges. Preventing financial risk contagion has become the top priority in the regulatory process. Preventing financial risk contagion has become the top priority in the supervision process. In this context, this paper uses DCC-GARCH model to test the process of dynamic risk contagion in stock market, selects Copula function to investigate the mechanism of dynamic risk contagion, and uses SV- TVP-VAR to investigate the intertemporal and temporal variability of dynamic risk contagion. It is found that the rising volatility of the stock market will lead to the diffusion of risk information and drive the risk level of other financial sub-markets and the real economy to increase. The study of risk dynamic contagion mechanism shows that the superposition effect of risk information and irrational behavior will make the risk dynamic contagion path appear nonlinear, and the extreme risk brought by it will have a more serious impact on the real economy.Further research shows that the information transfer cycle is not present in the risk dynamic contagion shock, but delayed. When the level of stock market volatility is high, the impact is stronger and the short-term impact is greater than the long-term impact.

Key words: Stock Market; Intertemporal; Time-varying; Risk Dynamic Contagion