Volatility increment conditional on the historical volatility for "Regime switching with 3 states"

Conditional average of the centered volatility increment, conditional on the historical volatility

The horizontal axis gives the volatility, the vertical axis gives the time horizons for the historical volatility and volatility increment.

Conditional correlation between the centered volatility increment and the historical volatility, conditional on the historical volatility

The horizontal axis gives the volatility, the vertical axis gives the time horizons for the historical volatility and volatility increment.