Scaling for the moments for "Regime switching with 3 states"

Normalized moments of the return

The horizontal axis gives the time horizons of the return, the vertical axis gives the normalized moments.

Normalized moments of the volatility

The horizontal axis gives the time horizons of the volatility, the vertical axis gives the normalized moments.

Normalized moments of the volatility increment

The horizontal axis gives the time horizons of the volatility increment, the vertical axis gives the normalized moments.