An attempt is made to predict the daily closing prices of BSE data which is highly fluctuating. The variables considered were found to be non normal as evidenced from Multivariate Omnibus test. Hence instead of Classical Multivariate Statistical procedures, the Non parametric Neural Network model with the new set of independent variables using Principal Component Analysis was used to predict the daily prices. The predictive ability of each model is measured using standardized error measures.

Key Words: Normality, Prediction, nonparametric, PCA, Error Measure.