We address a three-tier numerical framework based on nonlinear manifold learning for the forecasting of high-dimensional time series, relaxing the "curse of dimensionality" related to the training phase of surrogate/machine learning models. At the first step, we embed the high-dimensional time series into a reduced low-dimensional space using nonlinear manifold learning (local linear embedding and parsimonious diffusion maps). Then, we construct reduced-order surrogate models on the manifold (here, for our illustrations, we used multivariate autoregressive and Gaussian process regression models) to forecast the embedded dynamics. Finally, we solve the pre-image problem, thus lifting the embedded time series back to the original high-dimensional space using radial basis function interpolation and geometric harmonics. The proposed numerical data-driven scheme can also be applied as a reduced-order model procedure for the numerical solution/propagation of the (transient) dynamics of partial differential equations (PDEs). We assess the performance of the proposed scheme via three different families of problems: (a) the forecasting of synthetic time series generated by three simplistic linear and weakly nonlinear stochastic models resembling electroencephalography signals, (b) the prediction/propagation of the solution profiles of a linear parabolic PDE and the Brusselator model (a set of two nonlinear parabolic PDEs), and (c) the forecasting of a real-world data set containing daily time series of ten key foreign exchange rates spanning the time period 3 September 2001-29 October 2020.