Exchange Rate Determination and Forecasting: Can the Microstructure Approach Rescue Us from the Exchange Rate Disparity?

Table 4

Estimates of (4) at different horizons.

Horizon, ℎ	Beta-hat (OF)	𝑅-squared
5-minute	0.9083667 (0.0389624)	0.4757
10-minute	0.9149569 (0.0491146)	0.5388
15-minute	0.9182686 ( 0.0572092)	0.5667
20-minute	0.9525129 (0.0640856)	0.6004
25-minute	0.8624387 (0.0727042)	0.5421
30-minute	0.8703092 (0.0695521)	0.6135

The net order flow (OF) represents the net value of buyer-initiated trade minus the seller-initiated trade, measured in millions of dollars; numbers in the parenthesis are the standard errors for the corresponding coefficient estimates.