The world crude oil market is an important place for investors to engage in international financial investment activities, which profoundly impacts the economic activities of all countries. This paper aims to provide empirical support for the decision-making behavior of cross-border enterprises, international investors, and government regulatory authorities. This paper constructs a risk spillover effect measurement model based on the GARCH-CoVaR model. Firstly, the GARCH model fits the logarithmic rate of return of RMB and crude oil price data. Secondly, Copula is used to estimate its joint distribution. Finally, the risk spillover effect is calculated by the Covar model. We selected the emerging market (Shanghai crude oil futures market) as the research object. The research found that the Shanghai crude oil futures market has a significant inverse volatility spillover to the onshore exchange rate market and a two-way positive volatility spillover to the offshore exchange rate market; Then, we conducted a robustness analysis and found that there is a significant two-way risk spillover among offshore exchange rate market and international crude oil market, and there is a downward risk spillover among international crude oil market and onshore exchange rate market.