I have a financial time series that I wish to make 5 step ahead (t+5) forecasts on.
As the series is non-stationary, I have differenced the series.
For every time step t, the response variable is equal to the value at t + 5.
Now, if I wish to predict the price at t + 5, while the series is differenced, the model will essentially predict the expected change from step t+4. However, the price at this step is not known at step t, hence I will not be able to retrieve the prediction for t+5, just the expected change from t+4.
Should I instead difference each observation from the observation at 5 steps before?
Thanks in advance!