Its just radio signals. Your phone communicates with the router using radio waves the same way it would communicate with a telephone tower. Ofcourse the communcation itself is very complex but yeah, its radio waves.
The difference between Wi-fi and say bluetooth is frequency, Wifi has very high frequency and often comes in two flavors, 2.4GHz and 5GHz but Wi-fi was far more bandwidth than say Bluetooth and bluetooth is limited to 2.4 GHz at most.
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