What "95%" actually covers in each interval
A model outputs a "95% confidence interval" and a "95% prediction interval." A trader reads both as "the return will be in here 95% of the time."
Explain what the 95% actually refers to in each case, and why treating a confidence interval as a forecast band is a mistake.
Show a hint
One statement is about a fixed unknown constant across repeated samples; the other is about a random future outcome.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.