Volatility graining for "Regime switching with 3 states"

The lagged correlation between fine and coarse grained volatility

The axises gives the logarithm (base 2) of the return time horizons dt used to compute the volatility.

Asymmetry for the lagged correlation between fine and coarse grained volatility

The axises gives the logarithm (base 2) of the return time horizons dt used to compute the volatility.