Purpose: The purpose of this study is to explore the ability of EWMA, GARCH (1,1) and EGARCH (1,1) to forecast volatilities of S&P500, SSEC and MICEX, reference to two time periods in the timeframe of the Syrian war. VaR is derived using the HS approach which incorporates in its calculation the volatility of the best chosen model. The added value is the application of EVT in order to determine VaR results, which are compared and analyzed to the results of the HS approach, to define the most accurate approach. Methodology of Work: Returns of the in-sample period prices are used in estimating ...