Abstract: This paper empirically tests the data of the Qinhuangdao Port Datong HUNYOU(Q5800K) and the Australia BJ thermal coal spot price by using GARCH Models.The results show that above prices face obvious agglomeration effect,leverage effect and spillover effect.At the same time,this paper finds that there is strong evidence of long memory of the domestic and international coal markets and the domestic coal price decays faster than the international coal price.The impact effect of the international coal market on the market information is significantly less than that of the domestic coal market and there is the dual conduction of the mutual influence of both domestic and international coal markets.