The Objective of this study is to check the connection of exchange rate volatility in response to COVID- 19, with the help of two different models. We used twelve variables in these two model Exchange rate volatilities, Govt Effectiveness, Unemployment, Inflation, Lending Interest rate, GDP per capita, Population, Immunization, Govt Expenditure on education, Life- Expectancy, and Hand washing. The data collected from World Development Indicator, World Health Organization, International Financial Statistics, Worldwide Governs indicators, and COVID-19 data collected from-our-world-in-data. ARCH and GARCH models are used to find out the Volatility of the Exchange rate. This study employed the Generalized Method of Moments (GMM) model because it is a versatile and effective statistical technique that permits parameter estimation in models with potential endogeneity and measurement error concerns. Panel GMM Technique is used to find the significant result. According to model one Exchange rate volatility has a positive and significant connection with the Covid-19 cases or death rate, Govt effectiveness, and Govt Expenditure on education, and negative relation with Unemployment, Inflation, Lending interest rate, Number of COVID-19 cases, Population, and GDP Per capita. According to our second model results, all the variables have a positive relation with COVID-19 except Government Effectiveness and Immunization.