We mainly study the dynamical behavior of four exchange rates, i.e., the won-dollar, won-yen, won-yuen. and won-pound exchange rates, among twenty exchange rates in foreign exchange markets. A detrended fluctuation analysis (DFA) is applied to detect the long-range correlation embedded in the non-stationary time series. It is for our case found that there exists a persistent long-range correlation in volatilities, which implies a deviation from the efficient market hypothesis. Particularly, a crossover is shown to exist in the scaling behaviors of the volatilities.