In this paper, a kind of Grey Neural Network (abbreviate as GNN) is proposed which combines grey system theory with neural network, that is, the GNN model has been built by adding a grey layer before neural input layer and a white layer after neural output layer. Gray neural network can elaborate advantages of both grey model and neural network, and enhance further precision of forecasting. The GNN model is employed to forecast a real vehicle traffic flow of JINGSHI highway with favor precision and result, which is firstly applied GNN to traffic flow forecasting. Evaluation method has been used for comparing the performance of forecasting techniques. The experiments show that the GNN model is outperformed GM model and neural network model, and traffic flow forecasting based on GNN is of validity and feasibility.