The present study reveals the Analysis and
Prediction of SENSEX. The secondary data was collected from official website of Bombay
Stock Exchange. Based on exploratory data analysis I compare the returns between Banks
and Share Market. Also by using statistical technique such as Time Series I forecast next
five days as well as five months closing index values of SENSEX. By using these
forecasting values we know the future behavior of SENSEX which helps to take a decision
for investing in SENSEX or not.