GARCH-M Model Volatility

[dm9292]

Hi,

I am estimating a GARCH-M Model. I am regressing daily S&P 500 returns annualized and in the variance equation I am using a lagged value of the implied volatility (obtained via the VIX index). The implied volatility is annualized.

Now once I have estimated the model I use it generate 1 step ahead forecasts. My question is: Are these forecasts of volatility annualised since all my inputs were annualised?

Is that a fair statement to make?

Thank you for your help in advance. If you have any queries regarding what I have written please let me know.