This article analyzes the behavior of the exchange rate and its volatility for the period from December 2, 2003, to November 2, 2023. The analysis conducted was of a quantitative documentary nature; the statistical tool EViews9 was used for data capture, analysis, and interpretation; therefore, it was not experimental. Data analysis was performed using the ARIMA model for exchange rate estimation and the ARCH and GARCH model families for conditional variance estimation – volatility. The results obtained allow observing the trajectory of volatility, whose behavior has been affected by the economic policy followed by the economic authority and the crises generated by subprime mortgages and the pandemic. It is recommended to incorporate other volatility models, as well as comparison with other key variables in the financial sector, particularly the price and quotation index of the Mexican Stock Exchange, to include more relevant information that can improve the behavior of the exchange rate and its volatility.