This study seeks to assess the influence of the COVID-19 pandemic on market risk in two global financial stock markets. Employing four value-at-risk methodologies, we analyze and compare market risks before and during the pandemic. These methodologies encompass the normal distribution assumption method, historical simulation, exponential weighted moving average (EWMA) method, and the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach. The GARCH approach incorporates auto-selection procedures to identify the optimal ARIMA-GARCH model. The quantified value-at-risk serves as a measure of the pandemic’s impact severity on both financial stock markets.