Value at Risk (VaR) is widely used to measure Market Risk. Surprisingly, and against empirical evidence, almost all institutions keep the risk constant over time when measuring VaR. In this note I employ VaR with time-varying volatility. Risks changes considerably over time, so VaR should change in tandem. I´m allowing for non-normal distributions with heavy and asymmetric tails.

Forecasting log(S&P500) using Prophet