This study compares fourteen models of monthly Value-at-risk (thereafter VAR) for the Canadian and American stock markets in the context of an institutional portfolio manager. Our analysis focuses on the importance of four characteristics of VAR models with filtered historical simulation, one of the most promising approaches. Our results show that monthly VAR models with daily GARCH-type filter are the only ones not rejected with regard to all the performance tests conducted. Among these models, the asymmetric GARCH specification, which proves the most conservative, indicates that the S&P/TSX Composite and S&P500 indexes have a 5% probability of a respective loss averaging at least 7.4% and 6.7% of their value over one month.