Voltage is measured in relation to a reference. The neutral wire is your reference.
For DC, the voltage stays the same, for AC, the voltage changes from positive to negative in relation to that reference.
There are many types of electricity grids, but the neutral wire is often tied to ground somewhere.
(Edit: For multiphase systems, there is not always a neutral needed as the voltage of one phase if referenced to another phase. This video explains it: https://www.youtube.com/watch?v=zaK_dy-x00w)
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