Preheat the oven to 200C/Gas Mark 6. Cut the squash in half, leaving the skin on, scoop out the seeds with a spoon and discard, then slice the squash into 1cm segments or baton shapes. Cut the parsnips and carrots in half. Peel the beetroot, cut in half and then slice into 1cm chunks. Place all the veg in a bowl, toss with the olive oil and the bulgar wheat, then season and scatter with the leaves from the thyme sprigs.