基于机制转换模型的煤炭价格预测分析

Coal price forecast analysis based on mechanism conversion model

考虑我国煤炭价格高度波动性和周期性,引进一种新的描述煤炭价格的方法——机制转换模型,用煤炭期货价格校准了MRMR、MRGBM两种机制转换模型以及传统的均值回归(MR)模型的参数,发现每种机制呈现出不同的平均回归速度,反映了煤炭价格在不同机制下的状态。对比研究结果显示,与传统均值回归模型相比,机制转换模型对我国煤炭价格的预测效果更优。

Considering the high volatility and periodicity of coal prices in China,a new method of describing coal prices was introduced—the mechanism conversion model. The parameters of the two mechanism conversion models of MRMR and MRGBM and the traditional mean regression(MR) model were calibrated with coal futures prices,and it was found that each mechanism showed different average regression speeds,reflecting the state of coal prices under different mechanisms. Compared with the traditional mean regression model,the comparative study results show that the mechanism conversion model has a better forecasting effect on China’s coal prices.