In this paper, we propose an Elman recurrent neural network to predict and analyze a time series of gas energy consumption in an air handling unit. To this end, we consider the volatility of the time series and demonstrate that there exists a correlation in the time series of the volatilities, which suggests that the gas consumption time series contain a non-negligible amount of the non-linear correlation. Based on this finding, we adopt the Elman recurrent neural network as the model for the prediction of the gas consumption. As the simplest form of the recurrent network, the Elman network is designed to learn sequential or time-varying pattern and could predict learned series of values. The Elman network has a layer of “context units” in addition to a standard feedforward network. By adjusting two parameters in the model and performing the cross validation, we demonstrated that the proposed model predicts the gas consumption with the relative errors and the average errors in the range of 2%~5% and 3kWh~8kWh, respectively. The results of this study can be used to the energy management system in terms of the effective control of the cross usage of the electric and the gas energies.