With the liberalization and opening of financial markets, the relationships among financial commodities become much closer day-by-day. Therefore, how to establish a perfect measure to evaluate risk in the financial markets has become an important topic. From lots of domestic and foreign studies, we find that the returns of financial properties usually do not follow normal distribution, and the phenomenon of leptokurtic and thick tails do exist as usual. So, if researchers assume normal distribution to analyze equity returns, they would probably get some wrong results. The purpose of this research is to compare with the value of risk of TSE index options, while we apply the GARCH, EGARCH and GJR-GARCH model to analyze, with assuming that the error terms are asymptotic normal distribution, or student t & GED distribution individually. Besides, we adopt failure tests, proportion of failures test and LR test to examine the models of fitting. Finally, we get two conclusions as followings (1) Comparing with these three models, we find that EGARCH model is a better method. The returns of TSE index options appear asymmetry situations. (2) After comparing these three distributions, we find that the student t can more accurately capture the volatility of the data.