The standardized precipitation index (SPI) and standardized runoff index (SRI) are computed for several gauge stations in Panjiakou Reservoir catchment of Luanhe Basin, a drought prone region of North China. Based on the SPI and SRI time series, two different models, a weighted Markov chain model and a Volterra adaptive filter model for chaotic time series, were established to predict drought classes and achieve both short- and long-term drought forecasting. These approaches were compared with a three-dimensional (3D) loglinear model, reported in our previous work. It was observed that all the three models have pros and cons when applied to drought prediction in Panjiakou Reservoir catchment. The 3D loglinear model is able to forecast drought class within 1 month. However, its predicting accuracy declines with the increase of prediction time scale, and this confines its application. The weighted Markov chain model is a useful tool for drought early warning. Its precision, which is significantly related to the stable condition of drought classes, is highest for Non-drought, followed by Moderate and Severe/Extreme drought, and lowest for Near-normal. The Volterra adaptive filter model for chaotic time series combined the phase space reconstruction technique, Volterra series expansion technique and adaptive filter optimization technique, and was for the first time used in a drought class transition study. This model is effective and highly precise in long-term drought prediction (for example, 12 months). It is able to provide reliable information for the medium- and long-term decisions and plans for water resources systems.