金融市場可提供投資的管道日新月異，投資人可依照自己的喜好，選擇市場上不同的商品進行投資。投資人在選擇投資標的前，大多以觀察其標的資產過去資料的變化趨勢，以預測未來可能的變化走勢，進而估算能獲得的投資報酬。
對於未來資產價格的預測，資產波動率(volatility)扮演著重要的角色。資產波動率指的就是資產在一定時間內的變化程度，因此若能準確預測資產波動率，則可以正確評估投資風險，進而做出決策，得到較高的投資收益，因此波動率的研究在處理計量經濟的議題上有著極大的重要性。
有鑒於以往的文獻中，少有比較波動率模式之間的優劣，因此本文考慮不同的資產，以Gloria, Lee and Santosh (2004)所提出的四種單變量損失函數為基準，擴展到四種多資產的損失函數(預測選擇權價格的準確度、預測效用函數的高低、預測風險值的準確度和預測概似函數的高低)，來評估多變量波動率模式在不同考量目標下的優劣；此外也探討在單一資產下，單變量波動率模式和多變量波動率模式在不同考量目標下之間的優劣，提供投資大眾在選擇模式上的一些具體建議。

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