選擇權是一種非線性的衍生性金融商品，對於波動度具極高的敏感性。本文討論在券商沒有進行避險的情況下，應用不同波動性及避險比率求算出臺指選擇權風險值，並比較選擇權價內及價外風險值的差異。實證結果顯示，利用GARCH波動性所求出的風險值在選擇權價內及價外的情況下，遠比使用歷史波動性或是隱含波動性小而且穩定。而在衡量整體選擇權風險值風險上，利用誤差效度作為衡量指標也顯示，GARCH波動性的風險值也遠比歷史及隱含波動性績效風險值為佳。另外，使用Gamma避險比例的風險值誤差效度，也比使用Delta風險值的誤差效度來的好。

Option is one type of nonlinear financial derivatives with highly sensitivity to volatility. This article also converse how agents calculate TXO by using different volatilities and hedge ratios without pursuing the circumstance of hedge and compare the differences of VaR between in-the-money and out-of-the money. The empirical evidence indicates that using GARCH volatility to obtain VaR for option is far smaller than using historical volatility, implied volatility and ANN volatility. It is also more stable For the risk of measuring integrated option, the performance indexes of VaR model illustrate that the VaR of GARCH volatility is far better than historical volatility, implied volatility and ANN volatility. Furthermore, empirical results also show that the performance of Gamma-rule VaR is better than Delta rule VaR.