In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common findings in the literature; particularly that volatility is ‘persistent’. We investigate whether this ‘persistence’ is due to structural breaks or long memory, and the extent of asymmetric responses of the rand to ‘good news’ and ‘bad news’. Our results show that while long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by unaccounted shifts in volatility regime; the most striking finding is the remarkable fall in the estimates of volatility persistence when considerably more structural breaks than those identified in recent studies are detected and integrated into the generalised autoregressive conditional heteroscedasticity (GARCH) framework. Furthermore, the asymmetrical GARCH model results provide evidence of leverage effects, indicating that negative shocks imply a higher next period volatility than positive shocks. The empirical results also shed light on the timing and likely triggers of volatility regime switching.