Purpose: This study has two main purposes. First, Assess and compare the predictive ability of the Exponentially Weighted Moving Average EWMA, the Generalized Autoregressive Conditional Heteroscedasticity EGARCH (1, 1), the Exponential Generalized Autoregressive Conditional Heteroscedasticity EGARCH (1, 1), and the Glosten, Jagannathan, and Runkle Generalized Autoregressive Conditional heteroscedasticity GJR-GARCH. Second, Value at Risk is calculated using the Historical Simulation approach and the Extreme Value Theory. Methodology, Design and Approach: The models’ parameters are estimated from ...