The impact analysis of macroeconomic variables on stock market is a focus for economists since 19th century. Macroeconomic fundamentals and stock market volatility do play an important role in determining and forecasting the future position of an economy as a whole. In this study, one of the macroeconomic variables, exchange rate, is studied along with Indian Stock Market (BSE Index). The linkage between exchange rate and stock market index is considered as one of the important contributors to predict the growth/ business cycle of any economy. This dynamic linkage between exchange rate and stock market has been analyzed considering 15 years of data (from 2010 to 2016) on exchange rate and stock market index related to Indian Economy. A stock index or stock market index is a measurement of the value of a section of the stock market. It is computed from the prices of selected stocks (typically a weighted average). It is a tool used by investors and financial managers to describe the market, and to compare the return on specific investments. The main focus of the researchers is to find out the impact of exchange rate fluctuation on stock market volatility to predict the economic scenario in India.