A　new　hybrid　methodology　is　introduced　which　is　a　combination　of　multiple　regression　model　and　generalised　autoregressive　conditional　heteroskedasticity　(GARCH)　model.　Comparing　the　new　approach　and　the　vector　auto-regression　(VAR)　model,　this　paper　analyses　the　short-term　dynamics　of　the　energy　efficiency　index　(EEI)　in　response　to　change　in　the　five　indicator　variables　for　thermal　power　plants　in　China.　The　result　indicates　that:　(i)　The　new　hybrid　model　can　directly　calculate　the　EEIs　of　thermal　power　plants　without　artificial　intervention.　(ii)　It　can　eliminate　the　disturbance　of　residual　superposition.　(iii)　The　new　method　will　offer　more　direct　information　on　the　degree　of　volatility　among　determinants　and　operating　inefficiency.　(C)　2016　Elsevier　Ltd.　All　rights　reserved.