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.