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All Journal Jurnal Ilmu Komputer dan Informasi JIKSI (Jurnal Ilmu Komputer dan Sistem Informasi) Computatio : Journal of Computer Science and Information Systems JURNAL INTEGRASI Seminar Nasional Teknologi Informasi Komunikasi dan Industri JITK (Jurnal Ilmu Pengetahuan dan Komputer) JURNAL TEKNIK INFORMATIKA DAN SISTEM INFORMASI Sebatik INTECOMS: Journal of Information Technology and Computer Science Jurnal ULTIMATICS Journal on Education Simtek : Jurnal Sistem Informasi dan Teknik Komputer Jutisi: Jurnal Ilmiah Teknik Informatika dan Sistem Informasi Journal of Information Systems and Informatics Journal of Intelligent Decision Support System (IDSS) Jurnal Bakti Masyarakat Indonesia Jurnal Teknik Informatika (JUTIF) Internet of Things and Artificial Intelligence Journal
Tony Tony
Fakultas Teknologi Informasi Universitas Tarumanagara
Agriculture, Biological Sciences & Forestry Computer Science & IT Control & Systems Engineering Education Electrical & Electronics Engineering Engineering Industrial & Manufacturing Engineering Mathematics Social Sciences Other

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Journal : Jurnal Teknik Informatika (JUTIF)

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Forecasting Indonesian Banking Stock Prices Using Prophet, XGBoost, and Ridge Regression: A Comparative Analysis Tony, Tony; Ratchagit, Manlika; Hiryanto, Lely
Jurnal Teknik Informatika (Jutif) Vol. 6 No. 4 (2025): JUTIF Volume 6, Number 4, Agustus 2025
Publisher : Informatika, Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52436/1.jutif.2025.6.4.4973

Abstract

This study investigates the efficacy of Prophet, XGBoost, and Ridge Regression in forecasting stock prices of four major Indonesian banks—Bank Central Asia (BBCA.JK), Bank Negara Indonesia (BBNI.JK), Bank Rakyat Indonesia (BBRI.JK), and Bank Mandiri (BMRI.JK)—using daily historical data from January 2020 to March 2025, sourced from Yahoo Finance. The banking sector's volatility, evidenced by year-to-date declines ranging from 7.59% (BBCA) to 22.69% (BMRI) as of May 1, 2025, underscores the need for accurate predictive models. Performance was evaluated using Mean Absolute Error (MAE) and Root Mean Square Error (RMSE), revealing Ridge Regression as the superior method, consistently achieving the lowest errors (i.e., MAE of 23.81 for BBNI.JK and RMSE of 55.75 for BBCA.JK). Prophet exhibited the highest errors, suggesting its seasonal focus is less suited to stock price unpredictability, while XGBoost performed moderately better but lagged behind Ridge Regression. The results highlight Ridge Regression’s effectiveness in handling multicollinearity and noise in financial data. Our discussions emphasize the importance of model selection based on data characteristics, with implications for investment decision-making in the Indonesian market. This research contributes to the field of computational finance by providing a comparative analysis that not only identifies Ridge Regression as a superior method for forecasting stock prices but also illuminates the limitations of popular models like Prophet and XGBoost in handling financial data's unique characteristics, guiding future model selection and development. Future research could explore hybrid models to enhance accuracy across varied market conditions, addressing the study’s 60-day forecasting horizon limitation.
Co-Authors Adhi, Dennis Kurniawan Adrian Hartanto Adrian Santoso Agus Budi Dharmawan Agus Budi Dharmawan Agus Hendrah Roni Ailsa Bella Albertus Ferdinand Pratono Angelica Christina Angeline Alviona Meilyta Anthony Gunawan Ardi Sugiarto Bernard Dean Sofli Bezaliel Rumengan Bobby Tumbelaka Budianto Lomewa Lo Catherine Chairisni Lubis Christina, Angelica Clive Riady Cynthia Marcelina Darius Andana Haris Dayanti, Afina Putri Dedi Trisnawarman Dennis Kurniawan Adhi Desi Arisandi Destini, Janessa Sarah Diana Tanu Wijaya Dyah Erny Herwindiati Edward Brainard Pranata Eric Anthony Erikson T Ferdyan Tarigan Filipus Hanung Nugroho Foris Julio Suyanto Francisca Francisca Frans Lienardi Fransiska Luminovita Freddy Kurniawan Frencent Kinselton Gabriella Adeline Halim Garry Wiratama Geoffrey Valhart Harioyno Gosal, Maria Rosa Handy Lesmana Hendri Yukianto Henry Felix Hartanto Ignatius Lorenzo indrafani J. Panjaitan Ivan Sutedjo Janessa Sarah Destini Jason Permana Jennifer Jennifer Jensen Wang Jimmy wijaya Joel Eko Budianto Joko Joko Juan Gilland Djoni Kelvin Kennedy Stefano Kenny Yan Kevin Andryani Kristina Kristina Kusumoputro Kusumoputro Lely Hiryanto Leo Fantony Leon Fernando Wijaya Liko Dylan Manatap Dolok Lauro Manatap Dolok Lauro, Manatap Dolok Marcel Alexandro Rumbang Mardian Puli Sandy Maria Rosa Gosal Maulana, Aldi Resaldi Mega Pertiwi Meilita Chintya Melani Asta Rosari Meyliani Tanjung Michael Antoni Monica Saputra Natasha Angelica Nicholas Martin Novario Jaya Perdana Pranata, Edward Brainard Rachel Andrea Christy Raditya Rizki Ilhamsyah Raditya Rizki Ilhamsyah Rafael Wun Ratchagit, Manlika Rebecca Santi Rei Malchiel Reinhoran Reinhoran Resnu Rifnaldy Riady, Clive Riwinoto Riwinoto Roberto Davin Ruach Sakadewa Salsabila Azhary Firdaus Sandy Tanudjaja Shela sherly sherly Sidik Mulyono Sindy Sindy Stephen Christian tania evrita Teny Handhayani Thomas Andreas Tisa Sudargo TRI SUTRISNO Valencia Ilona Vera Felia Via Angelika Vikaliendry Nathayana Viny Christanti M Wahyudi Wahyudi Wasino Wasino Wasino Wijaya, Leon Fernando Windah Maria Sonia Nadiah Hutagalung Winni Setiawati Zyad Rusdi