Add the pumpkin, red peppers and shallots to a large roasting tin. Tuck the bay leaves in among the vegetables, then drizzle with the oil. Roast in a preheated oven, 200°C (400°F), Gas Mark 6, for 45 minutes until the vegetables are tender and browned.
Leave to cool slightly, then remove the skins from the peppers. Roughly chop the peppers, pumpkin and shallots, discarding the bay leaves. Add the vegetables and any juices from the roasting to a preserving pan. Add all the remaining ingredients, then bring to the boil and simmer, uncovered, for about 30 minutes, stirring more frequently towards the end of cooking, until thick.
Ladle into warm, dry jars, filling to the very top and pressing down well. Disperse any air pockets with a skewer or small knife and cover with screw-top lids. Label and leave to mature in a cool, dark place for at least 3 weeks.