The problem of determination to weighting coefficient is a key and difficulty for combination forecast. A method of determining weighting coefficient based on rough set theory is showed in this paper. Determining weighting coefficient is translated into estimating significance of attributes among rough set. A relation data model about combination forecast is established. Knowledge systems are built through making attribute value into eigenvalue. Under data moving, the weighting coefficients of a combination forecast model are computed by analyzing the dependence and significance of forecasting method for the predicted object. The proposed approach overcomes the subjectivity of traditional determination to weighting coefficient, avoids computing linear or nonlinear extremum problem and makes combination forecast more objective. The validity of the proposed approach is verified with a case.