After being on the run for almost two months, Jagdeo,28, surrendered in the company of a prominent Attorney-at-Law at the Ruimveldt Police Station.
Police were taking statements from the suspect in the presence of his lawyer.
The Water Street businessman was named in the September 3 gunning down of Davis outside his home at Eccles, East Bank Demerara. At one point, local police believed he had fled to neighbouring Suriname.
An autopsy subsequently revealed that he had been shot 16 times.