In many Indian languages, Raj literally means Prince or Royalty though is often used to mean something more like the English term of empire and as such is often used in reference to the Mughal Raj and the British Raj: the period of direct colonial rule of India by the British Empire.
for Raj as a cartoon character see Raj (Camp Lazlo)
Raj (c.f. Rashtra, nation) is a particularly striking example of a word with a common Proto-Indo-European root with many words related to rulers or ruling in European languages. For example:
See also the list of words of disputed pronunciation