Adding an aftermarket exhaust header and exhaust system can improve horsepower by around 10 to 20 percent.
A replacement header will increase the horsepower by helping the engine evacuate exhaust fumes much better than the current header and the new exhaust system such as muffler etc will help to increase the airflow which helps with engine performance.
You won't get a whole lot of horsepower gain with new headers and exhaust however it will give you a noticeable difference in engine horsepower.