), 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 …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient …