  The multifractal spectra of daily foreign exchange rates for US dollar (USD),
the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with
respect to the Indian Rupee are analysed for the period 6th January 1999 to
24th July 2018. We observe that the time series of logarithmic returns of all
the four exchange rates exhibit features of multifractality. Next, we research
the source of the observed multifractality. For this, we transform the return
series in two ways: a) We randomly shuffle the original time series of
logarithmic returns and b) We apply the process of phase randomisation on the
unchanged series. Our results indicate in the case of the US dollar the source
of 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 tails
of the probability distribution give rise to the observed multifractal
features, while in the case of the Japanese Yen, the origin of the multifractal
nature of the return series is mostly due to the broad tail.
