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Comparison of Linear and Ridge Regression for Estimating Indonesia’s IHSG, 2010–2024

IJCCS (Indonesian Journal of Computing and Cybernetics Systems) · Vol. 20 No. 3 (2026) · pp. 319–330

DOI
10.22146/ijccs.117861
ISSN
2460-7258, 1978-1520
Published
2026-07-31
Publisher
IndoCEISS in colaboration with Universitas Gadjah Mada, Indonesia.
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

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.

Keywords

Collaboration network of the authors

5 authors · 10 co-authorship links

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  • Universitas Pendidikan Ganesha
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Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/ijccs/oai, first harvested 26 Okt 2026, last seen 26 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Comparison of Linear and Ridge Regression for Estimating Indonesia’s IHSG, 2010–2024</dc:title>
	<dc:creator>Indah Saraswati, I Dewa Ayu</dc:creator>
	<dc:creator>Yunita Dewi, Kadek</dc:creator>
	<dc:creator>Rehatta, Jullio</dc:creator>
	<dc:creator>Sunarya, I Made Gede</dc:creator>
	<dc:creator>Oka Gunawan, I Made Agus</dc:creator>
	<dc:subject xml:lang="en-US">Computer Science</dc:subject>
	<dc:subject xml:lang="en-US">Composite Stock Price Index (IHSG); linear regression; Ridge Regression (L2); Cross-Validation</dc:subject>
	<dc:description xml:lang="en-US">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.</dc:description>
	<dc:publisher xml:lang="en-US">IndoCEISS in colaboration with Universitas Gadjah Mada, Indonesia.</dc:publisher>
	<dc:contributor xml:lang="en-US"></dc:contributor>
	<dc:date>2026-07-31</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/ijccs/article/view/117861</dc:identifier>
	<dc:identifier>10.22146/ijccs.117861</dc:identifier>
	<dc:source xml:lang="en-US">IJCCS (Indonesian Journal of Computing and Cybernetics Systems); Vol 20, No 3 (2026): July; 319-330</dc:source>
	<dc:source>2460-7258</dc:source>
	<dc:source>1978-1520</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/ijccs/article/view/117861/44945</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2026 IJCCS (Indonesian Journal of Computing and Cybernetics Systems)</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
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