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The multifractal spectra of daily foreign exchange rates for US dollar (USD),the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) withrespect to the Indian Rupee are analysed for the period 6th January 1999 to24th July 2018. We observe that the time series of logarithmic returns of allthe four exchange rates exhibit features of multifractality. Next, we researchthe source of the observed multifractality. For this, we transform the returnseries in two ways: a) We randomly shuffle the original time series oflogarithmic returns and b) We apply the process of phase randomisation on theunchanged series. Our results indicate in the case of the US dollar the sourceof multifractality is mainly the fat tail. For the British Pound and the Euro,we see the long-range correlations between the observations and the thick tailsof the probability distribution give rise to the observed multifractalfeatures, while in the case of the Japanese Yen, the origin of the multifractalnature of the return series is mostly due to the broad tail.

Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach