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Since the electricity market came into being, price volatility is along a difficult and unavoidable problem that makes the market participants face with great risks. But due to the short development of the deregulation, price and its relative data are insufficient, and then price researches have become a typical small-sampled problem. No doubt, such data condition have restricted the application and generalization ability of traditional methods. Then volatility analysis on the electricity price is along a focused and hot problem in the research fields of the electricity market. To solve the above problems, a novel model for price volatility analysis is proposed by grey disaster prediction, which aims at forecasting when the next price volatility will happen. After studying on the tendency when the price volatilities happen, this work builds a grey model to performing the price volatility prediction. Finally numerical experiments are applied to test the validity of the proposed model.