Data narration is the activity of producing narrative supported by facts extracted from data analysis, possibly using interactive visualizations. In spite of the increasing interest in data narration in several communities, there is no consensual definition of data narrative, let alone a formal model of it. In this paper, we propose a conceptual model of data narrative. It aims to support the entire lifecycle of building a data narrative: define an intentional goal: fetch and explore data, bring out highlights, derive important messages, structure the plot of the data narrative, and render it in a visual manner.