中国煤炭价格指数的多元时间序列分析

Multivariate Time Series Analysis of China Coal Price Index

摘要: 煤炭是我国目前的主要能源，煤炭价格指数是煤炭价格现状的重要呈现。对煤炭价格指数的预测可以帮助企业计划生产、国家调整政策。本文通过ARIMAX模型进行预测发现，WTI对我国煤炭价格指数有显著影响，当没有突发事件发生时，2020年初煤炭价格指数可能会出现小幅上涨。与ARIMA模型拟合对比显示，ARIMA模型和ARIMAX模型均能对我国煤炭价格指数进行良好的预测，但ARIMAX模型优于ARIMA模型。

Abstract: Coal is currently the main energy source in my country, and the coal price index is an important representation of the current status of coal prices. Forecasting the coal price index can help companies plan production and adjust national policies. This article predicts through the ARIMAX model that WTI has a significant impact on my country’s coal price index. When there are no emergencies, the coal price index may rise slightly in early 2020. Comparison with the ARIMA model shows that both the ARIMA model and the ARIMAX model can make a good prediction of my country’s coal price index, but the ARIMAX model is superior to the ARIMA model.