Osabuohien-Irabor, Osarumwense - In: CBN Journal of Applied Statistics 07 (2016) 1, pp. 311-332
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),...
