[Gretl-users] 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. - If it so happens that in the native forecasts the GARCH effects are not actually taken into account, then there still is the "gig" package. Its help has a section about forecasting, but that only seems to deal with forecasting the variance itself. Now, I believe I could use this variance forecast from gig to combine that with the point forecasts from the mean equation, in order to construct forecast error bands around the mean equation. Two questions here: Do you agree that that's possible? And secondly, would there be an easier way than combining it manually? Hope I made myself clear. My target is always the forecast of the first moment (the mean) and its uncertainty, the variance is only of indirect interest. thanks sven