[Gretl-users] Re: Forecasts (from a single equation) with (G)ARCH effects

Hi again, I'm wondering what's the status quo about forecast error/confidence bands in equations with any kind of ARCH effects, say a simple ARCH(1) or GARCH(1,1). In particular: - When I estimate the model natively in gretl (Model - Univariate Time Series - GARCH), I can call up the standard forecast dialog from the model window (Analysis - Forecast menu), and I get the usual plot with confidence bands. But I'm not sure whether the confidence bands actually incorporate the conditional variance from the GARCH part of the model (from the variance equation). I cannot easily check against a plain OLS model without GARCH because I also get slightly different coefficients in the mean equation there. I looked at the built-in help and at the manual, but it seemed silent on this particular case.