Abstract:

In this paper, the ARCH model was used to research on volatility characteristics of coal prices at Qinhuangdao and Australian coal markets. The research found the coal prices at Qinhuangdao and Australian coal markets are all subject to the continuing impact of external shocks and their past fluctuations. This effect disappeared at a slower rate in Qinhuangdao market than in Australian market, while both the two markets do not have "high-risk, high-return" feature. Coal price volatility at Qinhuangdao market presence an "asymmetric effect" and impact of "good news" for the coal price is greater than that of "bad news", while in the Australian market the "asymmetric effect" is not significant. For Qinhuangdao and the Australian coal market the ARCH model is applicable to volatility characteristics research of coal price with decent fittings.

Key words: coal, price, arch