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Two methods, namely simultaneous bootstrap quantile regression and RiskMetrics, are backtesting and compared to establish which one is a better Value at Risk (VaR) estimate for the United States dollar index returns. Using daily closing prices and the nearby contract settlement prices from 20 November 1985 to 15 February 2017, the results of this empirical research point out that at 5% of the significance level, RiskMetrics with IGARCH (1, 1) underestimates VaR for the next trading day. Fromdoi:10.34257/gjmbrcvol20is1pg21 fatcat:mcxn3mz2ovhvhdcknxnuafab64