This paper investigates the day-of-the-week effect on both returns and volatility for RMB/USD and RMB/EURO exchange rates in China from 2005 to 2010 based on modified GARCH-M model. We find that the RMB/USD exchange rate significantly rises up on Tuesday and Thursday, while RMB/EURO is easier to devaluated on Thursday and has Tuesday effect on volatility. There is significant negative relationship between the benefits and risks for the RMB/USD exchange rate, which shows that the higher risk is, the easier RMB/USD exchange rate rises up, probably due to the adaptive expectations of investors in exchange market.