As T-nex said, clay is an option... but it's really hard to maintain.
And you would have to have the right type of clay to give support to the structure of the statue/model-thing.
If you decide to choose clay, then choose some thing that has mesh mixed with the clay.
The basic "white clay" (as we a referer the clays in number at school, this one would be the number 254) is easy to use, but it doesn't keep it's form very well. With 254 you will be able to create smooth surfaces more easily that with a clay that has mesh mixed into it.
Meshed clays are more supportive, but they tend to break more easily during burning.
Burning is probably the most difficult problem with clay, because only then it will be water-proof...
Then you could glaze the clay, after it has been burned.
By glazing the clay, you can create different surfaces.
With is neat
That's all for now... I hope it cleared you with some things if you decided to choose clay as your material...