This study presents the use of a wavelet-based time series model to forecast the daily average particulate matter with an aerodynamic diameter of less than 10 μm (PM) in Peninsular Malaysia. The highlight of this study is the use of a discrete wavelet transform (DWT) in order to improve the forecast accuracy. The DWT was applied to convert the highly variable PM series into more stable approximations and details sub-series, and the ARIMA-GARCH time series models were developed for each sub-series. Two different forecast periods, one was during normal days, while the other was during haze episodes, were designed to justify the usefulness of DWT. The models' performance was evaluated by four indices, namely root mean square error, mean absolute percentage error, probability of detection and false alarm rate. The results showed that the model incorporated with DWT yielded more accurate forecasts than the conventional method without DWT for both the forecast periods, and the improvement was more prominent for the period during the haze episodes.