Electricity price series usually has complex features such as non-linearity, non-stationarity and volatility, which makes the price forecasting turn out to be very difficult. In order to improve the accuracy of electricity price forecasting, this study first proposes a two-layer decomposition technique and then develops a hybrid model based on fast ensemble empirical mode decomposition (FEEMD), variational mode decomposition (VMD) and back propagation (BP) neural network optimized by firefly algorithm (FA). The proposed model is unique in the sense that VMD is specifically applied to further decompose the high frequency intrinsic mode functions (IMFs) generated by FEEMD into a number of modes in order to improve the forecast accuracy. To validate the effectiveness and accuracy of the proposed model, three electricity price series respectively collected from the real-world electricity markets are adopted to conduct the empirical study. The results indicate that the proposed model outperforms the other considered models over horizons of one-step, two-step, four-step and six-step ahead forecasting, which shows that the proposed model has superior performances for both one-step and multi-step ahead forecasting of electricity price.