Choose the circle tool. Draw a circle. Paint it.
Then go to Effect > Stylize > Outer Glow.
Choose the following options:
Go to Effect > Document Raster Effects Settings.
Choose: High: 300ppi
If you don’t follow this step, then the image will look like this when you export the image.
But if you perform this small tricky step, you will get a wonderful picture to export.
Now, go to File > Export. You are done.