CBN Journal of Applied Statistics (JAS)


GARCH, Day-of-the-week, volatility, exchange rate, returns


This study examines the day-of-the-week effect in the Nigerian foreign exchange market (Naira against the US dollars), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day-of-the-week effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day goes with the influence of these models. Thus this study clearly support the argument of Charles (2010), that, the days of the week anomalies lies on the choice of model specified.

Author Bio

The author is from Mathematics/Statistics Department Ambrose Alli University, Ekpoma, Nigeria and UniversitiSains Malaysia, Malaysia, Dept of Statistics osabuohien247@gmail.com, osabuohienosa@aauekpoma.edu.ng

Publication Title

CBN Journal of Applied Statistics







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