Abstract: Value-at-risk currently has become the benchmark of measuring financial market risk,but normally it is difficult to accurately estimate the value-at-risk of one financial asset. Forecast combination is one way of solving the problem.In this paper,we discuss the meaning of asing forecast combination to forecast value-at-risk,and present the methods of obtaining the weights and of deciding the suitable individual forecast models included in the forecast combination.We draw the conclusion that forecast combination is able to improve the forecast performance of value-at-risk and that selection of weight and individual forecast models is the key factor of influencing forecast performance.