In this study, a time-varying statistical model, TVAREX, was proposed for daily averaged PM10 concentrations forecasting of coastal cities. It is a Kalman filter based autoregressive model with exogenous inputs depending on selected meteorological properties on the day of prediction. The TVAREX model was evaluated and compared to an ANN model, trained with the Levenberg-Marquardt backpropagation algorithm subjected to the same set of inputs. It was found that the error statistics of the TVAREX model in general were comparable to those of the ANN model, but the TVAREX model was more efficient in capturing the PM10 pollution episodes due to its online nature, therefore having an appealing advantage for implementation.