This study attempts analyse the different indices of ‘Bombay Stock Exchange’ (BSE) of India, in terms of risk return characteristics and their relatedness and predictibility to address the relavite neglect of past studies. Further it investigates the volatility impact of different sub indices of BSE on market index (BSE 30). By applying the mean variance approach and different performance ratios the risk return characteristics and performance of different indices is analyzed. ARIMA modelling is performed to forecast the market return at varying time lag. Further we analyse the volatility impact of different indices on the market index (BSE 30) with GARCH Modelling. The results indicate that medium cap indices perform better in terms of risk and return. We find a significant volatility impact of other indices on market index. The return of different indices are significantly related and it can be forecasted with help of ARIMA Model with one period time lag. Our study provides interesting insights to researchers and investors alike in the context of performance of stock indices in India.