The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional distributions and apply di erent leptokurtic DCC models to the evaluation of the Value at Risk (VaR) of a portfolio of realistic dimensions. A free software (Ox class) written by the authors to carry out all the required computations is presented as well.