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

Table 5

Estimates of (5) at different horizons.

Horizon, ℎ	Beta-hat (OFR)	𝑅-squared
5-minute	0.6821226 (0.04672573)	0.2618
10-minute	1.363381(0.1159284)	0.3177
15-minute	2.049136 (0.1991693)	0.3495
20-minute	3.133242 (0.2923226)	0.4349
25-minute	3.403084 (0.3952186)	0.3827
30-minute	4.765898 (0.4607529)	0.5196

The net order flow ratio (OFR) represents the ratio of net order flow to the corresponding contemporaneous trade quantity over the same period, measured in millions of dollars; numbers in the parenthesis are the standard errors for the corresponding coefficient estimates.