A good research publication regarding forecasting by using neural networks and time series prediction is available as.

Advances in forecasting with neural networks? Empirical evidence from the NN3 competition on time series prediction

http://www.sciencedirect.com/science/article/pii/S0169207011000616

http://www3.dsi.uminho.pt/pcortez/geatsf.pdf

Dear Prof. Thank you very much for your answer. But article had no mention of M5 method. With best regards N p Singh

Hi,

You need to wrap both of them in one process (after selecting the class to be predicted) using a meta-learner. You could also need to select the right lag length.

HTH. 

Samer 

Time series forecasting has various steps. It depends at which step and for what purpose you want to use GA.