Estimatng error in ARIMA(p,d,q)

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MINA 2014-8-12

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https://ww2.mathworks.cn/matlabcentral/answers/147333-estimatng-error-in-arima-p-d-q

编辑： MINA 2014-8-12

Hello,

I am trying to model my data with ARIMA(1,2,12) and since the variance is not stationary I have also included GARCH (2,3). so I have saved all the parameter of my model in a variable called mdl. I have used 1000 time steps as initial values and I want to do a 10 time step ahead for forecasting and then I want to compute the residuals. this is my code:

[res,V,LOGL] = infer(mdl,data(1:1000));

[YF, YMSE,VV] = forecast(mdl,10,'Y0',data(1:1000),'E0',res,'V0',V);

ERROR=data(1001:1010)-YF;

My question is if I have to double difference my data to compute the ERROR or should I don't need to do that. Because D=2 is my ARIMA so I don't know what forecasts gives me, the data after being differentiated two times or the without differencing. Thanks