Expected Shortfall (ES) is the average return on a risky asset when the return is below a certain level, known as Value-at-Risk (VaR). New models have been developed to better predict ES, which is gaining importance in financial regulations. By combining ES and VaR in dynamic models, researchers have improved forecasting accuracy compared to traditional methods like GARCH. These new models have been tested on international equity indices and shown to outperform existing forecasting techniques.