In a market-oriented transaction, risk measurement of electricity price fluctuation contributes to conduct risk management for market stakeholders. This paper proposes a new method for analyzing electricity price fluctuation and measure risk. It combines TGARCH and Vinecopula. This method applies TGARCH to establish the margin distribution of day-ahead, real-time and ancillary service transaction electricity prices, and uses Vinecopula to fit the multi-dimensional dependent structure of each transaction electricity price. Based on the Kendall rank correlation and tail correlation calculated from the method, the dynamic fluctuation characteristic between each transaction price is analyzed, and its risk is measured. Empirical analysis shows that this method can not only capture the change of price fluctuation under the combined action of load/capacity ratio and renewable energy penetration rate, but can also accurately describe the nonlinear correlation structure of each transaction price. This can capture the dynamic fluctuation characteristics of day-ahead, real-time and ancillary service transaction price. Also, it can more effectively reduce portfolio volatility risk in comparison to other methods. This work is supported by the National Key Research and Development Program of China (No. 2018YFB0905204).