Abstract: Grey Neural Network is an innovative intelligent computing approach combing grey system model and neural net-work, which makes full use of the similarities and complementarities between grey system model and neural network to settle the disadvantage of applying grey model and Neural Network separately. Therefore, the Grey Neural Network model can be applied practically in a wide range. Coal is basic energy in China and it supports the rapid development of the national economy. Therefore the forecast of coal demand is particularly important for the rational use of coal resources and the sound development of China economy. In recent years, there are some limitations of the demand for coal forecast. The three layers grey neural network model is established based on Matlab technology and to be simulated in this study. After actual data testing, the coal demand is forecasted with the methods.