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.
\multirow
is not defined by default, it is impossible to tell if you have defined it as you have not shown a usable test file starting\documentclass
. Do you get an error from tex?