That's actually a pretty hotly debated topic, and isn't necessarily historically true.
'Saturday' loosely comes from Logadagr, which is washing day. However, some spellings have it as 'Lokadagr' and since Loki is sometimes spelled 'Loke' people just assumed the two were connected.
It also comes from the fact that Saturn and Loki have many things in common, and Saturday was named after Saturn.
