Based on examining the origin of Clean Development Mechanism (CDM) from a view of ecological conservation, this paper describes CER time series with GED distribution and discovers its heteroskedasticity. The TGARCH and EGARCH models both reflect significant volatility of CER price with GARCH model analysis. In our estimation of Chinese carbon market risk with econometric TGARCH-VaR and EGARCH-VaR models, we find that TGARCH-VaR and EGARCH-VaR models increase the accuracy in measuring the carbon market risk. To achieve the sound and increasing growth of China’s carbon market, integration with the international market, and competition in the international carbon market, we argue the technical methods to reduce the market risk for the benefit of investors in the market competition. Our study provides more methods for China’s carbon market risk measurement, so as to China’s being well-prepared on the way to ecological economic development.