Due to the continuous increasing importance of renewable energy sources as an alternative to fossil fuels, to contrast air pollution and global warming, the prediction of Global Horizontal Irradiation (GHI), one of the main parameters determining solar energy production of photovoltaic systems, represents an attractive topic nowadays. Solar irradiance is determined by deterministic factors (i.e. the position of the sun) and stochastic factors (i.e. the presence of clouds). Since the stochastic element is difficult to model, this problem can benefit from machine learning techniques, like artificial neural networks. This work proposes a methodology to forecast GHI in short-(i.e. from 15 min to 60 min) and mid-term (i.e. from 60 to 120 min) time horizons. For this purpose, we designed, optimised and compared four neural network architectures for time-series forecasting, respectively based on: i) Non-Linear Autoregressive, ii) Feed-Forward, iii) Long Short-Term Memory and iv) Echo State Network. The original data-set, consisting of GHI values sampled every 15min, has been pre-processed by applying different filtering techniques. Our results analysis compares the performance of the proposed neural networks identifying the best in terms of error rate and forecast horizon. This analysis highlights that the clear-sky index results the preferred filtering technique by giving greatly improvements in data-set pre-processing, and Echo State Network gives best accuracy results.