Before revision:  The bootstrap's consistency is proven under mild assumptions for a general class of volatility models and bootstrap intervals are constructed for the conditional Value-at-Risk to quantify the uncertainty induced by estimation. A large-scale simulation study is conducted revealing that the equal-tailed percentile interval based on the fixed-design residual bootstrap tends to fall short of its nominal value.
After revision:  The bootstrap's consistency is proven under mild assumptions for a general class of volatility models and bootstrap intervals are constructed for the conditional Value-at-Risk . A simulation study reveals that the equal-tailed percentile interval based on the fixed-design residual bootstrap tends to fall short of its nominal value.