I would like to install a Custom ROM in my Xperia J and its named AVD ROM. To install that ROM do I have to install the ICS first or no need?
Please help me. thank you.
If your device is rooted/unlocked, and you already use a custom recovery (like clockworkmod or twrp), there's no need to downgrade first. flashing the custom-rom will either replace the complete system, regardless of the installed version: usually, the images contain complete "disk images" for all relevant partitions.
If, on the other hand, your device is not rooted, and there doesn't exist any rooting solution for the currently installed Android version, but only for ICS: then yes, you might need to downgrade so you can gain root access to your device, and flash a custom recovery.
On some devices it might be sufficient to simply unlock the bootloader in order to install a custom recovery or flash a custom rom. If that applies to your device, I must leave for someone else to answer.