Coefficient of variation (COV) of monthly wheat price in India (Wholesale Price I ndex:WPI) was 0.1996 during 1982-1991 period. It increased to 0.2091 in the period 1992-2000 period and further to 0.2381 in the recent period of 2005-2011. (Authors' calculations) This clearly shows that the variability of wheat prices has increased over time. Inter-year variation in wheat prices is also observed to be high as indicated by the coefficient of variation (0.2423) of annual prices of wheat for the period 1994 to 2010. The annual price increase has been varying over the last 15 years. In many years, the increase in price was below the inflation rate for the year. Wheat prices are observed to be more volatile than that of cereal group as a whole. Therefore there is a need for a good forecasting model for wheat prices in India