The asymmetric volatility of financial asset returns has attracted much interest in recent years. The causes of it, however, have not reached a consensus for both the stock and exchange rate markets. This paper mainly investigates if there is differential degree of volatility asymmetry before and after government's intervention policy change in weathering through Asian financial crisis and the association between asymmetric volatility and policy change for seven Asian markets. An EGARCH model is applied to the five years' daily exchange rates to examine the degree of asymmetric volatility. The results show that the asymmetric volatility is present in six markets, with the exception of Thailand. In addition, a positive relationship between the magnitude of asymmetry and degree of policy intervention is affirmed in exchange rate markets.