{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T16:34:49Z","timestamp":1792773289979,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":40,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>AbstractBetter risk forecasts create portfolio value by improving the risks investors hold. This study examines the link through an LSTM-DCC-MGARCH framework that combines bounded nonlinear variance corrections with re-estimated dynamic correlations. Using 6,267 daily observations for seven commodity and financial markets from September 2000 to April 2026, the analysis evaluates forecasts and portfolios from March 2016 onward. Relative to conventional DCC, LSTM-DCC significantly reduces marginal QLIKE, covariance QML, and Frobenius MSE, with BH-adjusted p-values of 0.0282, 0.0219, and 0.0413. Variance MSE increases, establishing criterion-specific marginal performance. Under a common long-only minimum-variance rule, LSTM-DCC produces the highest observed Sharpe ratio, 1.3667, and significantly reduces squared portfolio innovation risk relative to four comparators. Its Sharpe increment over DCC is 0.01935, with statistically comparable performance. Generalized forecast-error variance decomposition identifies natural gas, crude oil, and wheat as net transmitters, with total connectedness of 1.9057%. Natural gas provides the largest marginal forecast gain but accounts for only 1.60% of the hybrid portfolio, while the S&amp;P 500 and gold jointly account for 77.69%. Positive exposure penalties reduce Sharpe ratios. The findings establish that joint updating of marginal risk and dependence improves covariance forecasting, while portfolio composition governs its realized investment value under the common constrained portfolio allocation rule.\u200b<\/jats:p>","DOI":"10.2139\/ssrn.7661942","type":"posted-content","created":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T14:43:03Z","timestamp":1792766583000},"source":"Crossref","is-referenced-by-count":0,"title":["Nonlinear Volatility, Spillovers, and Portfolio Optimization: Evidence from an LSTM-DCC-MGARCH Framework"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-5171-1634","authenticated-orcid":true,"given":"Bismark","family":"Asante","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-1487-2438","authenticated-orcid":true,"given":"William","family":"Nganje","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"4","key":"ref1","doi-asserted-by":"crossref","first-page":"1511","DOI":"10.1111\/jofi.12408","article-title":"A model of financialization of commodities","volume":"71","author":"S Basak","year":"2016","journal-title":"The Journal of Finance"},{"issue":"2","key":"ref2","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1111\/j.1540-6288.2010.00244.x","article-title":"Is gold a hedge or a safe haven? 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