Engle, Robert Fry (1942-…), is an American economist and professor who won the 2003 Nobel Prize in economic sciences. He shared the award with the British economist Clive W. J. Granger. The economists earned the award for their development of new statistical methods for the study of economic time series. Economic time series are sets of economic observations recorded over time. Time series commonly track economic variables, such as gross domestic product, interest rates, and stock prices. Engle’s and Granger’s methods improved economists’ ability to analyze time series and to predict future economic conditions.
Much of Engle’s research focused on volatility—that is, the rate at which a variable fluctuates (moves up and down) irregularly over time. Traditional statistical methods had assumed that a variable’s rate of fluctuation remained constant. Engle, however, introduced new methods that accounted for changes in volatility at various points in time. Such methods—particularly his autoregressive conditional heteroskedasticity (ARCH) models—greatly influenced, for example, the ways that economists and investors evaluated risks in the stock market.
Engle was born on Nov. 10, 1942, in Syracuse, New York. In 1964, he received an undergraduate degree in physics from Williams College. He earned an M.S. degree in physics from Cornell University in 1966. In 1969, he earned a Ph.D. degree in economics from Cornell. Engle has taught at a number of universities, including the Massachusetts Institute of Technology, the University of California at San Diego, and New York University.
See also Granger, Clive William John .
