• Arun James
• Ann Sanya George
• Dr.Vincent G

This paper enquires into the impact, the exchange rate volatility can have on crude oil price of five Asian leading importers using Regression and also the impact of volatility on the exchange rate on crude oil price in India. For this study, daily time series data of crude oil price and the exchange rate of ten years period (April 1, 2008, to 31 March 2018) were collected. There is no existence of ARCH effect in the co-variance of crude oil price returns and exchange rate return on Indian currency, thus volatility spill-over cannot be determined. The coefficient of ARCH term of co-variance of crude oil price return and Indian currency exchange rate return does not have significant volatility spill-over which means spillover is weak but the covariance clustering effect is strong. There is existence of GARCH effect in the co-variance of crude oil price returns and Indian currency exchange rate return. All the developing countries except Pakistan currency shows negative impact towards volatility of crude oil price. For a developing country, higher price of crude oil or depreciation in the value of domestic currency have an impact on country’s economy as well as it impacts the development of country.

Exchange rate volatility, Crude oil price, Multivariate GARCH, Volatility persistence.

"Volatility in crude oil price and it's brunt on crude oil", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.6, Issue 3, page no.559-569, March-2019, Available :http://www.jetir.org/papers/JETIR1902875.pdf

"Volatility in crude oil price and it's brunt on crude oil", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.6, Issue 3, page no. pp559-569, March-2019, Available at : http://www.jetir.org/papers/JETIR1902875.pdf