Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191685
Authors: 
Osabuohien-Irabor, Osarumwense
Year of Publication: 
2016
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 7 [Year:] 2016 [Issue:] 1 [Pages:] 311-332
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-theweek 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.
Subjects: 
GARCH
Day-of-the-week
volatility
exchange rate
returns
JEL: 
C32
G10
G14
Document Type: 
Article
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