How to merge cells correctlly?

While your problem could be solved by loading multirow (you got an error message, didn't you?), there are also some smaller issues which are fixed in the following code: \emph in math mode is wrong and \mathit should be used.

I didn't fix the minus signs (you should) because I also present a better way to lay out the table that doesn't suffer from the problem.

\documentclass{article}
\usepackage{geometry}
\usepackage{multirow} % for your style
\usepackage{booktabs,siunitx} % for the better one

\sisetup{output-decimal-marker={,}}

\begin{document}

\begin{table}[htp]
\centering
\caption{Caption for the jailed table}
\label{tab:boot-var}
\begin{tabular}{|c|r|r|r|r|r|r|r|r|r|r|r|r|} \hline
%
\multirow{2}{*}{$\alpha$} &
\multicolumn{3}{c|}{$\overline{\mathit{Va}R}_\alpha \times 10^{-2}$}&
  \multicolumn{3}{c|}{$\Delta \times 10^{-3}$} &
  \multicolumn{3}{c|}{$\mathit{SD} \times 10^{-2}$} &
  \multicolumn{3}{c|}{$\mathit{RMSE} \times 10^{-2}$} \\
\cline{2-13}
&
  \multicolumn{1}{c|}{$C_G$} &
  \multicolumn{1}{c|}{$C_t$} &
  \multicolumn{1}{c|}{$C_R$} &
  \multicolumn{1}{c|}{$C_G$} &
  \multicolumn{1}{c|}{$C_t$} &
  \multicolumn{1}{c|}{$C_R$} &
  \multicolumn{1}{c|}{$C_G$} &
  \multicolumn{1}{c|}{$C_t$} &
  \multicolumn{1}{c|}{$C_R$} &
  \multicolumn{1}{c|}{$C_G$} &
  \multicolumn{1}{c|}{$C_t$} &
  \multicolumn{1}{c|}{$C_R$} \\
\hline
90,0 & 1,61 & 1,62 & 1,61 & 2,99 &  3,03 &  2,96 & 0,80 & 0,79 & 0,85 & 3,10 & 3,13 & 3,08 \\
95,0 & 2,19 & 2,20 & 2,18 & 5,00 &  5,06 &  4,93 & 1,18 & 1,37 & 1,48 & 5,14 & 5,24 & 5,14 \\
99,0 & 3,46 & 3,50 & 3,46 & 8,71 &  9,11 &  8,78 & 1,79 & 2,32 & 2,47 & 8,89 & 9,40 & 9,11 \\
99,5 & 4,04 & 4,21 & 4,09 & 4,15 &  5,82 &  4,64 & 4,22 & 6,10 & 5,69 & 5,91 & 8,42 & 7,33 \\
99,9 & 5,62 & 5,53 & 5,49 & 0,05 & -0,86 & -1,21 & 3,81 & 5,18 & 5,16 & 3,81 & 5,24 & 5,29 \\ \hline
\end{tabular}
\end{table}

\begin{table}[htp]
\centering
\caption{Caption for the nice table}
\label{tab:boot-var+}
\begin{tabular}{
 @{}
 S[table-format=2.1]
 *{4}{S[table-format=1.2]}
 *{2}{S[table-format=-1.2]}
 *{6}{S[table-format=1.2]}
 @{}
}
\toprule
{$\alpha$} &
  \multicolumn{3}{c}{$\overline{\mathit{Va}R}_\alpha \times 10^{-2}$} &
  \multicolumn{3}{c}{$\Delta \times 10^{-3}$} &
  \multicolumn{3}{c}{$\mathit{SD} \times 10^{-2}$} &
  \multicolumn{3}{c}{$\mathit{RMSE} \times 10^{-2}$} \\
\cmidrule(lr){2-4} \cmidrule(lr){5-7} \cmidrule(lr){8-10} \cmidrule(l){11-13}
&
  {$C_G$} & {$C_t$} & {$C_R$} &
  {$C_G$} & {$C_t$} & {$C_R$} &
  {$C_G$} & {$C_t$} & {$C_R$} &
  {$C_G$} & {$C_t$} & {$C_R$} \\
\midrule
90,0 & 1,61 & 1,62 & 1,61 & 2,99 &  3,03 &  2,96 & 0,80 & 0,79 & 0,85 & 3,10 & 3,13 & 3,08 \\
95,0 & 2,19 & 2,20 & 2,18 & 5,00 &  5,06 &  4,93 & 1,18 & 1,37 & 1,48 & 5,14 & 5,24 & 5,14 \\
99,0 & 3,46 & 3,50 & 3,46 & 8,71 &  9,11 &  8,78 & 1,79 & 2,32 & 2,47 & 8,89 & 9,40 & 9,11 \\
99,5 & 4,04 & 4,21 & 4,09 & 4,15 &  5,82 &  4,64 & 4,22 & 6,10 & 5,69 & 5,91 & 8,42 & 7,33 \\
99,9 & 5,62 & 5,53 & 5,49 & 0,05 & -0,86 & -1,21 & 3,81 & 5,18 & 5,16 & 3,81 & 5,24 & 5,29 \\
\bottomrule
\end{tabular}
\end{table}

\end{document}

As you see, the input is much easier and the table has a more professional look.

Don't jail table cells, says the duck.

You should add \usepackage{multirow}in the preamble. If it's there, the document is compiled without an error.

\documentclass{article}
\usepackage{multirow}

\begin{document}
\begin{table}[]
\centering \caption {caption}
\label{tab:boot-var}
\begin{tabular}{|c|r|r|r|r|r|r|r|r|r|r|r|r|} \hline
%
\multirow{2}{*}{$\alpha$} &
\multicolumn{3}{c|}{$\overline{\emph{VaR}}_\alpha \times 10^{-2}$}
& \multicolumn{3}{c|}{$\Delta \times 10^{-3}$} &
\multicolumn{3}{c|}{$SD \times 10^{-2}$} &
\multicolumn{3}{c|}{$RMSE \times 10^{-2}$} \\ \cline{2-13}
 & \multicolumn{1}{c|}{$C_G$} & \multicolumn{1}{c|}{$C_t$} & \multicolumn{1}{c|}{$C_R$} & \multicolumn{1}{c|}{$C_G$} & \multicolumn{1}{c|}{$C_t$} & \multicolumn{1}{c|}{$C_R$} & \multicolumn{1}{c|}{$C_G$} & \multicolumn{1}{c|}{$C_t$} & \multicolumn{1}{c|}{$C_R$} & \multicolumn{1}{c|}{$C_G$} & \multicolumn{1}{c|}{$C_t$} & \multicolumn{1}{c|}{$C_R$} \\ \hline
90,0 & 1,61 & 1,62 & 1,61 & 2,99 &  3,03 &  2,96 & 0,80 & 0,79 & 0,85 & 3,10 & 3,13 & 3,08 \\
95,0 & 2,19 & 2,20 & 2,18 & 5,00 &  5,06 &  4,93 & 1,18 & 1,37 & 1,48 & 5,14 & 5,24 & 5,14 \\
99,0 & 3,46 & 3,50 & 3,46 & 8,71 &  9,11 &  8,78 & 1,79 & 2,32 & 2,47 & 8,89 & 9,40 & 9,11 \\
99,5 & 4,04 & 4,21 & 4,09 & 4,15 &  5,82 &  4,64 & 4,22 & 6,10 & 5,69 & 5,91 & 8,42 & 7,33 \\
99,9 & 5,62 & 5,53 & 5,49 & 0,05 & -0,86 & -1,21 & 3,81 & 5,18 & 5,16 & 3,81 & 5,24 & 5,29 \\ \hline
\end{tabular}
\end{table}
\end{document}

Here's another solution that deliberately uses no vertical lines whatsoever and few, but well-spaced, horizontal lines. Compared to @egreg's "nice" table solution, the code shown below (a) uses an array environment instead of a tabular environment, requiring the typing of only 2 $ symbols for the entire table (one before \begin{array}, the other after \end{array}), and (b) assigns all 12 data columns the same width in order to present a more "even-looking" output.

\documentclass{article}
% Choose suitable page parameters:
\usepackage[letterpaper,margin=1in]{geometry} 
\usepackage{booktabs,siunitx}
\usepackage[skip=0.333\baselineskip]{caption}
\begin{document}

\begin{table}[ht!]
\sisetup{table-format=-1.2, output-decimal-marker={,}}
\centering
\caption{Choose a suitable caption} \label{tab:boot-var+}
$\begin{array}{@{} c *{12}{S} @{}}
\toprule
\alpha & \multicolumn{3}{c}{\overline{\mathit{VaR}}_\alpha \times 10^{-2}} &
         \multicolumn{3}{c}{\Delta\times 10^{-3}} &
         \multicolumn{3}{c}{\mathit{SD}\times 10^{-2}} &
         \multicolumn{3}{c@{}}{\mathit{RMSE}\times 10^{-2}} \\
\cmidrule(lr){2-4} \cmidrule(lr){5-7} \cmidrule(lr){8-10} \cmidrule(l){11-13}
& {~~C_G} & {~~C_t} & {~~C_R} & {~~C_G} & {~~C_t} & {~~C_R} &
  {~~C_G} & {~~C_t} & {~~C_R} & {~~C_G} & {~~C_t} & {~~C_R} \\
\midrule
90,0 & 1,61 & 1,62 & 1,61 & 2,99 & 3,03 & 2,96 & 0,80 & 0,79 & 0,85 & 3,10 & 3,13 & 3,08 \\
95,0 & 2,19 & 2,20 & 2,18 & 5,00 & 5,06 & 4,93 & 1,18 & 1,37 & 1,48 & 5,14 & 5,24 & 5,14 \\
99,0 & 3,46 & 3,50 & 3,46 & 8,71 & 9,11 & 8,78 & 1,79 & 2,32 & 2,47 & 8,89 & 9,40 & 9,11 \\
99,5 & 4,04 & 4,21 & 4,09 & 4,15 & 5,82 & 4,64 & 4,22 & 6,10 & 5,69 & 5,91 & 8,42 & 7,33 \\
99,9 & 5,62 & 5,53 & 5,49 & 0,05 &-0,86 &-1,21 & 3,81 & 5,18 & 5,16 & 3,81 & 5,24 & 5,29 \\
\bottomrule
\end{array}$
\end{table}
\end{document}