Some DSLRs and MILCs (and I think some semi-pro compacts too) have a wide enough dynamic range that they can work and HDR image from a single RAW file. Catch is

Some DSLRs and MILCs (and I think some semi-pro compacts too) have a wide enough dynamic range that they can work and HDR image from a single RAW file. Catch is, you have to shoot RAW and then process it with specific software. When it's done in-camera, it always is through multiple exposures. Even without specific software, you can work the effect from a single RAW file to get "multiple exposures" from it and then combine them into an HDR image.