This research paper examines the interliquidity between currency exchange rates and stock market indices, specifically focusing on BSE-Sensex and NSE-Nifty. We aim to explore the volatility dynamics and predictability of these markets using advanced econometric models, including ARCH, GARCH, and their extensions. The study utilizes a 5-year dataset comprising daily exchange rates for USD/INR, JPY/INR, EUR/INR, GBP/INR, and corresponding index prices. Through detailed statistical analysis and model estimations, we investigate the relationship between currency and index volatility, the asymmetric behaviour of volatility, and the contagion effects between these financial markets..
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