As a kind of brain-inspired computing, reservoir computing (RC) has great potential applications in time sequence signal processing and chaotic dynamics system prediction due to its simple structure and few training parameters. Since in the RC randomly initialized network weights are used, it requires abundant data and calculation time for warm-up and parameter optimization. Recent research results show that an RC with linear activation nodes, combined with a feature vector, is mathematically equivalent to a nonlinear vector autoregression (NVAR) machine, which is named next-generation reservoir computing (NGRC). Although the NGRC can effectively alleviate the problems which traditional RC has, it still needs vast computing resources for multiplication operations. In the present work, a hardware implementation method of using computing-in memory paradigm for NGRC is proposed for the first time. We use memristor array to perform the matrix vector multiplication involved in the nonlinear vector autoregressive process for the improvement of the energy efficiency. The Lorenz63 time series prediction task is performed by simulation experiments with the memristor array, demonstrating the feasibility and robustness of this method, and the influence of the weight precision of the memristor devices on the prediction results is discussed. These results provide a promising way of implementing the hardware NGRC.