Energy is an important commodity, and its price fluctuation, which is triggered by the enhancement of its financial attribute, often causes the fluctuation of domestic market under the background of the rapid development of international financial market. Based on the data of international crude oil, coal and natural gas markets and China’s energy industry, the GAS model with skewed t distribution is established to measure the VaR and ES of domestic and foreign energy markets, and the back test is carried out to prove the robustness of the GAS model; Quantile CoVaR is used to compare and analyze the risk spillover effect of international energy market on domestic market. The results show that the international crude oil market contributes to a two-way risk spillover to China’s energy market; there is a reverse risk spillover from the international coal market and natural gas market to China’s energy market, and the contribution of the international coal market to the risk spillover to China’s energy market is much greater than that of other markets.