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The method of time series suitable for use when it checks each data patterns systematically and has many variables, such as in the case of crude oil prices. One study that utilizes the methods of time series is the integration between Ensemble Empirical Mode Decomposition (EEMD) and neural network algorithms based on Polak-Ribiere Conjugate Gradient (PCG). However, PCG requires setting free parameters in the learning process. Meanwhile, the appropriate parameters are needed to get accurate forecasting results. This research proposes the integration between EEMD and Generalized Regression Neural Network (GRNN). GRNN has advantages, such as: does not require any parameter settings and a quick learning process. For the evaluation, the performance of the method EEMD-GRNN compared with GRNN. The experimental results showed that the method EEMD-GRNN produce better forecasting of GRNN.
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