Accurate wind power forecasting (WPF) is pivotal for the power system dominated by high penetration of renewable energy. Most forecasting techniques require sufficient data samples as a premise for achieving accurate prediction. Due to equipment faults during data collection, complete data is not always available, resulting that the forecasting accuracy is greatly diminished. To address this issue, this paper proposes a novel two‐stage hybrid forecasting approach including data restoration stage and forecasting stage. For the data restoration stage, the bidirectional long short‐term memory (Bi‐LSTM) is integrated into generative adversarial network (GAN) to recover the missing data with consideration of the complex time dynamics and correlations among heterogeneous data. To improve the prediction accuracy, the complete generated wind power sequence is decomposed into multiple time sequences with low volatility based on the enhanced variational mode decomposition (VMD). For the forecasting stage, a hybrid forecasting algorithm that combines convolutional neural network (CNN) and bidirectional gated recurrent unit (BiGRU) with an improved attention mechanism is proposed, strengthening the forecasting performance by assigning optimal weights to key features. The proposed hybrid forecasting method outperforms traditional methods based on real wind farm data with different shares of data loss from Guangxi province in China. © 2023 Institute of Electrical Engineers of Japan. Published by Wiley Periodicals LLC.