Air pollution is the entry or inclusion of living things, energy substances, and other components into the air. Moreover, Air pollution is the presence of one or several contaminants in the outside atmospheric air such as dust, foam, gas, fog, smoke or steam in large quantities with various properties and time intervals of the contaminants in the air resulting in disturbances to the lives of humans, plants or animals. One of the parameters measured in determining air quality is PM 2.5. However, PM 2.5 has a higher probability of being able to enter the lower respiratory tract because small particle diameters can potentially pass through the lower respiratory tract. In this paper, we will get two different insight. First, the probability of status change using Markov chain and second, forecasting by using VAR-NN-PSO. More details we classify by three classifications no risk (1-30), medium risk (30-48), and moderate (>49) in Pingtung and Chaozhou. This data is starting from January 2014 to May 2019 and it can be modeled with the Markov chain. At the same time, we perform Hybrid VAR-NN-PSO to forecast PM 2.5 in Pingtung and Chaozhou. In this optimization, the search for best solutions is carried out by a population consisting of several particles. Based on the results of the discussion, opportunities for the transition from monthly status change are obtained continuous stochastic time with a stationary probability distribution. Regarding the VAR-NN-PSO, we obtained the mean absolute percentage error (MAPE) 3.57% for PM 2.5 data in Pingtung and 4.87% for PM 2.5 data in Chaozhou, respectively. This model can be predicted to forecasting 180 days ahead. Besides, the population in PSO has generated randomly with the smallest value and the high value the accuracy.