This article has two aims. First, I revisit Khemiri (2009 Khemiri, R. 2009. Parameter stability in foreign exchange market microstructure: a Markov switching approach. la Revue Tunisienne d'Economie et de Gestion (Tunisian Journal of Economics and Business), 29: 171–200. [Google Scholar]) and I find support to Lyons (1995 Lyons, RK. 1995. Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics, 39: 321–51. [Crossref], [Web of Science ®] , [Google Scholar]) seminal dealer level specification with a still richer picture of the conditional volatility dynamics. For this reason, I develop an estimation procedure for a variety of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Markov Switching Exponential GARCH (MSGARCH) models which provide a richer modelling of volatility dynamics and I find that the Markov Switching Exponential GARCH (MSEGARCH) model fits the intraday data better. In addition, the second aim of this article is to study the relationship between trading volume and volatility in the Foreign Exchange (FX) market microstructure by using a Markov switching approach that captures asymmetry and regime shifts in the Lyons (1995 Lyons, RK. 1995. Tests of microstructural hypotheses in the foreign exchange market. Journal of Financial Economics, 39: 321–51. [Crossref], [Web of Science ®] , [Google Scholar]) dataset. In this context, the empirical results support the Mixture of Distribution Hypothesis (MDH) where I find a new result showing that that there is a positive correlation between volume and volatility of the Deutsche Mark (DM)/$ prices as well as a positive effect of order flow on returns. This confirms the role of order flow as a mean of transmission of information in the new microexchange rate economics.