Since the authoritative organizations, such as G30 and BIS, recommended the Value at Risk (VaR) as a way to quantify marketing risks, VaR has recently became an important tool on market risk management. In this research, we take Taiwan stock exchange index as empirical data and the estimated VaR and predicting effectiveness for different models are compared. There are two types of VaR models: non-parametric models and parametric. The non-parametric model in this paper is the quantile regression model (Koenker and Bassett, 1978, 1982) in which the independent variables are chosen by Taylor's (1999) method. Parametric models consist of J. P. Morgan's Riskmetrics and GARCH model. The quantile of the standardized training data instead of the critical value of the standard normal distribution to catch the fat-tailed phenomenon is used. The conclusions include: (1) One-step-ahead standard deviation forecast, estimated by parametric models and combined with quantile regression model, usually improve the VaR prediction. (2) Quantile Regression model is generally good for long-holding periods. (3) When the left end of returns presents fat tail, applying empirical quantile is obviously better than using the critical value of the standard normal distribution. (4) Upward or downward returns may significantly influence the effects of the estimation of VaR. When it goes up, most of the estimation results are accurate, but not in the case of a downward trend.