This study examines the impact of US dollar exchange rate movements against the Egyptian pound on the volatility of the EGX30 stock index, using monthly data from January 1998 to June 2024. The period includes several exchange rate liberalizations and major shocks, such as the global financial crisis, the Arab Spring, and the COVID-19 pandemic. The study employs the EGARCH model to estimate stock market volatility and the NARDL model to investigate potential nonlinear and asymmetric effects in both the short and long run. The results reveal a statistically significant nonlinear relationship, where dollar depreciation has a stronger long-run impact on volatility than appreciation. Moreover, short-term shocks are generally corrected within approximately 15 months. These findings underscore the importance of exchange rate stability in supporting the resilience and efficiency of financial markets. Additionally, the study finds that interest rates and broad money supply have a positive influence on stock market volatility, whereas inflation and global oil prices exert a negative and significant effect.