This study analysed the impact of the volatility of the rupiah exchange rate on four main commodities exported from Indonesia to six member countries of the Organisation of the Islamic Cooperation (OIC) (Saudi Arabia, Malaysia, Pakistan, United Arab Emirates, Turkey, and Bangladesh). The study employed monthly data spanning from January 2007 to December 2019 and the EGARCH method to obtain exchange rate volatility, while the ARDL method was used to model both the short-run and long-run impact of exchange rate and its volatility on exports. In the short term, findings revealed that exchange rate volatility has a significant negative effect on five main commodity exports to OIC countries, whereas, in the long-term, volatility of the exchange rate negatively affects twelve main commodity exports to OIC countries. Our results further imply that most of Indonesia’s exporters to six OIC Member countries are risk-averse.