This paper analyzes the effectiveness of RBI intervention and its asymmetric impact on the exchange level and volatility in the foreign exchange market. The peculiarity of this study is to verifying whether RBI intervention leads to asymmetric effect on exchange rate or not using purchases and sales of US dollar as separate variables in the empirical specification. To estimate intervention effects, we use the monthly data on the exchange rate and intervention for the period July 1995 – July 2013 applying GARCH model. In the first empirical model results, intervention through net purchases of US dollar doesn’t not show any significant effect on the exchange rate level and however, it reduces the exchange rate volatility.