This article illustrates the application of a nonlinear system identification technique to the problem of STLF. Five NARX models are estimated using fixed-size LS-SVM, and two of the models are later modified into AR-NARX structures following the exploration of the residuals. The forecasting performance, assessed for different load series, is satisfactory. The MSE levels on the test data are below 3% in most cases. The models estimated with fixed-size LS-SVM give better results than a linear model estimated with the same variables and also better than a standard LS-SVM in dual space estimated using only the last 1000 data points. Furthermore, the good performance of the fixed-size LS-SVM is obtained based on a subset of M = 1000 initial support vectors, representing a small fraction of the available sample. Further research on a more dedicated definition of the initial input variables (for example, incorporation of external variables to reflect industrial activity, use of explicit seasonal information) might lead to further improvements and the extension toward other types of load series.