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This study analyzes the impact of exchange rate volatility (ERV) on inbound tourist arrivals from four ASEAN countries namely Indonesia, the Philippines, Singapore, and Thailand during 1970–2017. Volatility in the exchange rates between the tourist currency and ringgit Malaysia is measured using the Generalized Autoregressive Conditional Heteroskedasticity model. The results from Autoregressive Distributed Lagged models indicate that ERV has no significant impact on tourist arrivals from ASEAN to Malaysia. This implies that tourists from these countries may not be sensitive to ERV when choosing Malaysia as their travel destination. There are two possible explanations for the results. First, Malaysian ringgit has been depreciating against major currencies and regional currencies in recent years, which makes ringgit relatively cheaper than other ASEAN currencies. Second, the empirical results of the study support the argument that ERV has a more serious impact on tourist spending compared to tourist arrivals.