The paper focuses on the effects of exchange rate volatility on balance of payments (BoP) of Kenya, both current account and capital and financial accounts. Volatility measures are modelled with exchange rate returns using the GARCH based models and added to an autoregressive distributed lag (ARDL) framework using the quarterly data between 2010 and 2024, and this is supplemented by a structural vector autoregression (SVAR). The findings suggest that the exchange rate volatility worsens the current account in the short run, in large part due to the fact that the cost of imports increases faster than that of export earnings can adapt. Meanwhile, volatility promotes precautionary capital inflow and short-term portfolio changes that artificially fortify the financial account on a transient basis. The impacts evaporate in the longer run, however, and the total balance of payments effect turns statistically negligible when monetary policy and foreign reserves buffers are taken into account. The findings highlight the relevance of plausible monetary policy, adequate reserve building, and effective macroprudential systems in counterbalancing the destructive impacts of volatility. In the case of Kenya, policy actions must focus on keeping the exchange rates flexible but with limited extreme short-term variations, increase resilience by reserves and financial supervision, and export competitiveness. This paper makes a contribution by connecting exchange rate volatility to the whole balance of payments system of an African emerging market through the use of current time-series models, thus balancing policy relevance and econometric rigor.