Stock market is a "weatherglass" of macro-economy, portfolio risk measurement of different industries in stock market is very important for investors whether in financial markets or in real economy.This article measures multi-dimensional industries portfolio risk by the frontier method of high dimensional dynamic C-Vine Copula, and compares the results to static model.The result shows that VaR series got from high dimensional dynamic C-Vine Copula can get through UC and stability tests, while the static model can not.Thus we can get the conclusion that high dimensional dynamic C-Vine Copula performs better that static model and can be used as a new method for portfolio risk measurement of different industries in stock market.