利用風險值作為投資組合的風險管理工具，必須考慮金融資產報酬率通常具有厚尾、高峰、波動叢聚以及資產間訊息與波動性的變化也會交互影響等現象；因此實證上通常以多變量GARCH模型作為估計投資組合變異數矩陣的方法。然而多變量GARCH模型卻存在有維度上的詛咒，當投資組合包含資產數增加時會加重參數估計上的困難度。另一種估計波動率的方法，稱為實現波動率，能比多變量GARCH模型更簡易地處理投資組合高維度的問題。本文即以實現波動率、BEKK多變量GARCH模型與CCC模型，並以中鋼、台積電、國泰金為研究對象，比較三種方法估計風險值的表現。而實證結果得到利用實現波動率確實適合應用在風險值的估計上，且在表現上有略勝一籌的現象。

中文部分
洪幸資，2003，「控制風險值下的最適投資組合」，國立政治大學金融研究所，碩士論文。
高櫻芬、謝家和，2002。「涉險值之衡量—多變量GARCH模型之應用」，經濟論文叢刊，30，273-312。
許傑翔，2004，「多變量財務時間數列模型之風險值計算」，東吳大學商用數學所，碩士論文。
翁偉哲，2004，「風險值偏誤之衡量：以台灣期貨交易所之股價期貨為例」，國立高雄第一科技大學金融營運所，碩士論文。

英文部分
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