Not to be pedantic, but to be pedantic
Varying shutter speed isn't relevant unless in full manual mode, and even then is incomplete. What you need to vary is exposure, either by using exposure compensation or bracketing, or by using full manual, in which case you can vary shutter or aperture, though aperture variation may create depthnof field artifacts.
Also, digital has more dynamic range than film, but less latitude - like an excellent slide film, especially when shooting RAW, which has a coulee of extra stops of range. It is possible to create an HDR with a single raw shot.
Finally, a true HDR can't be represented in a JPEG file which has a fixed range based on format, or displayed on a normal (non-radiology) computer monitor, which also is restricted in dynamic range. The best you can do is convert the HDR back down to normal 8-bit dynamic range using a custom tone curve. That said, properly done such an image can feel more like what you saw in real life.