The study focused on exploring the effect of various macroeconomic variables on the volatility of real effective exchange rate (REER) of Indian Rupee using monthly time series data spanning over November 1997 to December 2020. The Generalized Autoregressive Conditional Heteroskedasticity GARCH (1,1) modelling approach has been applied to measure the volatility. Autoregressive Distributed Lag (ARDL) bounds testing approach for cointegration has been applied to test the long-run and short-run association among the endogenous and the exogenous variables. The analysis revealed that the volatility of the Indian exchange rate was caused by macroeconomic factor such as inflation, foreign institutional investments, economic growth, exports, foreign exchange reserve and trade openness. It has been observed that an increase in Indian exports, foreign exchange reserve and trade openness have decreasing impact on the volatility of the Indian rupee exchange rate. While increased inflation has increasing impact on the volatility of REER. Thus, better macroeconomic indicators such as increased exports and forex reserves contribute to stability but worsened macroeconomic factors such as heightened inflation cause instability by increasing the volatility.