The prediction of wind speed is one of the most important aspects when
dealing with renewable energy. In this paper we show a new nonparametric model,
based on semi-Markov chains, to predict wind speed. Particularly we use an
indexed semi-Markov model, that reproduces accurately the statistical behavior
of wind speed, to forecast wind speed one step ahead for different time scales
and for very long time horizon maintaining the goodness of prediction. In order
to check the main features of the model we show, as indicator of goodness, the
root mean square error between real data and predicted ones and we compare our
forecasting results with those of a persistence model
