"Day-of-the-week Anomaly: An illusion or a Reality? Evidence from Naira" by Osarumwense Osabuohien-Irabor

CBN Journal of Applied Statistics (JAS)

Title

Day-of-the-week Anomaly: An illusion or a Reality? Evidence from Naira/Dollar Exchange Rates

Authors

Osarumwense Osabuohien-Irabor, Ambrose Alli University, EkpomaFollow

Keywords

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

Abstract

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

Issue

1(b)

Volume

Recommended Citation

Osabuohien-Irabor, Osarumwense (2016) "Day-of-the-week Anomaly: An illusion or a Reality? Evidence from Naira/Dollar Exchange Rates," CBN Journal of Applied Statistics (JAS): Vol. 7: No. 1, Article 14.
Available at: https://dc.cbn.gov.ng/jas/vol7/iss1/14

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