An apparatus for forecasting energy consumption includes a load data collection unit to collect low level data related to energy load data. The apparatus includes a filtering/attribute selection unit to eliminate duplicated attributes from attributes of low level data to produce an optimal attribute set. The apparatus includes a training unit produces a multi-class in which a plurality of single classes is hierarchically coupled in at least two levels and creates training data used for forecasting the energy consumption based on the produced multi-class. The apparatus includes a forecasting unit calculates the energy consumption to be forecasted on a basis of the real-time low level data, the multi-class and the training data. Therefore, it is possible to contribute to the progressive expansion and update of a cooling load forecasting system.