Coal price risk prediction and early-warning based on ARCH and GARCH models

Haixiang Gao; Yue Zhao; Qiuna Cai; Sijie Liu; Guobing Wu; Chao Gong

doi:10.1117/12.2673200

25 April 2023 Coal price risk prediction and early-warning based on ARCH and GARCH models

Haixiang Gao, Yue Zhao, Qiuna Cai, Sijie Liu, Guobing Wu, Chao Gong

Proceedings Volume 12598, Eighth International Conference on Energy Materials and Electrical Engineering (ICEMEE 2022); 125981B (2023) https://doi.org/10.1117/12.2673200
Event: Eighth International Conference on Energy Materials and Electrical Engineering (ICMEE 2022), 2022, Guangzhou, China

Abstract

As the second largest fuel in the world and an important resource in China, the stability of coal supply and demand plays an important role in social development and stability, and the coal price is not only the embodiment of supply and demand, but also the embodiment of the stability of coal market. In this paper, the coal price index in China's coastal areas is taken as the research object, and based on ARCH and GARCH models, value-at-risk is used to quantify and warn the coal price risks. On the basis of expounding coal price forecasting model and risk assessment method, calculation and analysis of an example are carried out. The results show ARCH and GARCH models can effectively quantify the coal price risk and provide early warning information for relevant departments, so that relevant departments can take measures to deal with it.

Citation Download Citation

Haixiang Gao, Yue Zhao, Qiuna Cai, Sijie Liu, Guobing Wu, and Chao Gong "Coal price risk prediction and early-warning based on ARCH and GARCH models", Proc. SPIE 12598, Eighth International Conference on Energy Materials and Electrical Engineering (ICEMEE 2022), 125981B (25 April 2023); https://doi.org/10.1117/12.2673200

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