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In particular, we find a VaR forecast for heteroscedastic processes such that its (conditional) coverage probability is close to the nominal. To do so, we pay attention to the effect of estimator variability such as asymptotic bias and mean square error. Numerical analysis is carried out to illustrate this calculation for the Autoregressive Conditional Heteroscedastic (ARCH) model, an observable volatility type model. In comparison, we find VaR for the latent volatility model i.e., the Stochastic Volatility Autoregressive (SVAR) model. It is found that the effect of estimator variability is significant to obtain VaR forecast with better coverage. In addition, we may only be able to assess unconditional coverage probability for VaR forecast of the SVAR model. 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