Due to the ability of handling the coupling property of multivariable control system, generalized predictive control (GPC) has been widely employed in process industry. However, the existing GPC method normally utilizes the frequency domain indices in the design procedure, which is not intuitive to the industrial end users. Therefore, a new GPC method with improved time domain performance is proposed for multiple-input-multiple-output system. First, the slope and rate of change of the slope of the system outputs are considered as two new weighting terms in the cost function of GPC such that the dynamic characteristics of the system can be better considered in the optimal control problem of the controller. Second, given the modified cost function, the resultant GPC algorithm is developed to improve the time domain performance of the system. Third, the convergence and stability of the closed-loop system under the proposed method are theoretically proved. Finally, the experimental results based on the variable air volume (VAV) air conditioning system show that the time domain performance indices, including overshoot and settling time, of the proposed method, have been improved by 68.75% and 66.67%, compared with the traditional GPC, showing the advantages of the new GPC method.