The purpose of the study is to examine whether the returns and volatility for Indian exchange rates possess non … statistics to test for non-linearity. The empirical results provide the evidence of strong non-linear dependence in the Indian … exchange rate returns and volatility and also that is time-varying. The results also suggest that the GARCH model, which has …

evidence indicates that both volatility spillover and regime shift contribute to nonlinear causality and the explanation power …