This study examines volatility transmission in Asian foreign exchange (FX) markets through a multi-method framework combining DCC-GARCH, Diebold–Yilmaz (DY) spillovers, Baruník–Křehlík (BK) frequency decomposition, and Wavelet Quantile Correlation (WQC). Using data from nine Asian currencies and eight global variables, including interest rates, uncertainty indices, and commodity prices, the analysis captures time-varying, horizon-specific, and tail-dependent spillovers. Results reveal that long-term and upper-quantile dynamics dominate systemic risk propagation. The Japanese yen (JPY) and Singapore dollar (SGD) are consistent net transmitters, while the Korean won (KRW), Indonesian rupiah (IDR), and Thai baht (THB) are recurrent receivers of external shocks. U.S.-centric variables (e.g., Treasury yields, VIX) exert the most persistent influence, whereas China's bond market volatility shows limited regional transmission. What stands out from the results is that FX interconnectedness in Asia is far from uniform. The dynamics seem to shift nonlinear and asymmetric traits that most standard models do not pick up well. From a risk management perspective, that suggests a need for strategies that can adapt across time horizons and respond to changing market conditions as they unfold.