I'm puzzling over this arch stuff trying to figure out how to use the results to forecast. When I estimate the arch model I get a bunch of alphas estimated and the usual output for coefficients. To forecast do you just use the coefficients on the X's and multiply them by your new values to get a forecasted Y? Do I have to do anything with the alphas? Reading my copy of Greene, they just seem to be forcing structure on the error term and estimating that structure so I'm just not certain if I have to use them somehow to get a forecasted value or not.