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All Journal IJCCS (Indonesian Journal of Computing and Cybernetics Systems)
Indah Saraswati, I Dewa Ayu
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Computer Science & IT Control & Systems Engineering

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Comparison of Linear and Ridge Regression for Estimating Indonesia’s IHSG, 2010–2024 Indah Saraswati, I Dewa Ayu; Yunita Dewi, Kadek; Rehatta, Jullio; Sunarya, I Made Gede; Oka Gunawan, I Made Agus
IJCCS (Indonesian Journal of Computing and Cybernetics Systems) Vol 20, No 3 (2026): July
Publisher : IndoCEISS in colaboration with Universitas Gadjah Mada, Indonesia.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/ijccs.117861

Abstract

This study aims to estimate the movement of the Indonesia Composite Stock Price Index (IHSG) using linear regression and Ridge Regression based on monthly data from 2010 to 2024, where IHSG serves as a key indicator of Indonesia’s capital market and requires a simple yet reliable estimation model to support economic and investment decisions. The methodology applies linear regression as a baseline model and Ridge Regression to address potential multicollinearity among independent variables, with model performance evaluated using 5-fold cross-validation and metrics including Mean Absolute Error (MAE), Mean Squared Error (MSE), and Root Mean Squared Error (RMSE). The results show that linear regression achieves MAE = 0.068829, MSE = 0.007987, and RMSE = 0.087823, while Ridge Regression performs slightly better with MAE = 0.068547, MSE = 0.007970, and RMSE = 0.087732. Although the differences are relatively small, Ridge Regression consistently produces lower and more stable error values, indicating that it is a more robust alternative for IHSG estimation, particularly for medium- to long-term analysis.
Co-Authors I Made Agus Oka Gunawan I Made Gede Sunarya Rehatta, Jullio Yunita Dewi, Kadek