The aim of this study is to investigate the Swedish currency (SEK) exchange rate daily volatility effects on the OMX stock price volatility in two separate periods of currency depreciation and appreciation. We used the exchange rate of the four main currencies against the SEK, the USD, EUR, CYN and JPY, as a base to calculate the average daily movement and the volatility of the SEK for the period between February 2018 to December 2020. We used a modified GARCH model specially designed to address the questions of this paper following the same steps used by Fang (2002) to design his model. This paper provides evidence that the daily exchange rate volatility has a significant, but neglectable, effect on the daily stock market volatility. The results can be explained by the high level of economic stability in Sweden and the low level of uncertainty between the investor.