Robert Fry Engle III (born November 10, 1942) is an American economist andstatistician. He won the 2003Nobel Memorial Prize in Economic Sciences, sharing the award withClive Granger, "for methods of analyzing economictime series with time-varyingvolatility (ARCH)".

Robert F. Engle III
Engle in 2022
Born	(1942-11-10)November 10, 1942 (age 82) Syracuse, New York, U.S.
Education	Williams College (BS) Cornell University (MS,PhD)
Academic career
Field	Econometrics
Institution	New York University, since 2000 University of California, San Diego, (1975–2003) Massachusetts Institute of Technology, (1969–1975)
Doctoral advisor	Ta-Chung Liu[1]
Doctoral students	Mark Watson Tim Bollerslev
Influences	David Hendry
Contributions	ARCH Cointegration
Awards	Nobel Memorial Prize in Economic Sciences (2003)
Information atIDEAS / RePEc
Academic background
Thesis	Biases From Time-Aggregation of Distributed Lag Models (1969)

Engle was born inSyracuse, New York into aQuaker family^[2] and went on to graduate fromWilliams College with aBS in physics. He earned anMS in physics and aPhD in economics, both fromCornell University, in 1966 and 1969 respectively.^[3] After completing his PhD, Engle became an economics professor at theMassachusetts Institute of Technology from 1969 to 1977.^[4] He joined the faculty of theUniversity of California, San Diego (UCSD) in 1975, wherefrom he retired in 2003. He now holds positions of professor emeritus and research professor at UCSD. He currently teaches atNew York University,Stern School of Business where he is the Michael Armellino professor in Management of Financial Services. AtNew York University, Engle teaches for the Master of Science in Risk Management Program for Executives.^[5][6]

Engle's most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices andinterest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managingrisk. For example, risk measurement plays a key role in pricingoptions andfinancial derivatives. Previous researchers had either assumed constantvolatility or had used simple devices to approximate it. Engle developed new statistical models of volatility that captured the tendency of stock prices and other financial variables to move between high volatility and low volatility periods ("Autoregressive Conditional Heteroskedasticity: ARCH"). These statistical models have become essential tools of modernarbitrage pricing theory and practice.

Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly date onsystemic risk across countries on its V-LAB site.^[7][8] He was awarded aDoctor Honoris Causa by theComillas Pontifical University in Spain in 2024.^[9]

• Engle, Robert F. (1982). "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation".Econometrica.50 (4):987–1008.doi:10.2307/1912773.JSTOR 1912773.
• Engle, Robert F.; Hendry, David F.; Richard, Jean-Francois (1983). "Exogeneity".Econometrica.51 (2). (withDavid F. Hendry and Jean-Francois Richard):277–304.doi:10.2307/1911990.JSTOR 1911990.
• "Semi-parametric Estimates of the Relation between Weather and Electricity Demand".J. Amer. Statist. Assoc.81 (394). (with C. Granger, J. Rice and A. Weiss):310–320. 1986.doi:10.1080/01621459.1986.10478274.{{cite journal}}: CS1 maint: others (link)
• Engle, Robert F.; Granger, C. W. J. (1987)."Co-Integration and Error Correction: Representation, Estimation, and Testing"(PDF).Econometrica.55 (2). (withClive Granger):251–276.doi:10.2307/1913236.JSTOR 1913236.S2CID 16616066.
• Engle, Robert F.; Lilien, David M.; Robins, Russell P. (1987). "Estimation of Time Varying Risk Premia in the Term Structure: the ARCH-M Model".Econometrica.55 (2). (with David Lilien and Russell Robins):391–407.doi:10.2307/1913242.JSTOR 1913242.
• "Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills"(PDF).Journal of Econometrics.45 (1–2). (with V. Ng, and M. Rothschild):213–237. 1990.doi:10.1016/0304-4076(90)90099-F.hdl:2027.42/28496.S2CID 55667632.{{cite journal}}: CS1 maint: others (link)
• Engle, Robert F.; Russell, Jeffrey R. (1998). "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data".Econometrica.66 (5). (with J.R. Russell):1127–1162.doi:10.2307/2999632.JSTOR 2999632.
• "Dynamic Conditional Correlation – A Simple Class of Multivariate GARCH Models".Journal of Business and Economic Statistics.20 (3):339–350. 2002.doi:10.1198/073500102288618487.S2CID 14784060.
• Easley, D.; Engle, R. F.; O'Hara, M.; Wu, L. (2008)."Time-Varying Arrival Rates of Informed and Uninformed Traders".Journal of Financial Econometrics.6 (2). (withMaureen O'Hara,David Easley and L. Wu):171–207.doi:10.1093/jjfinec/nbn003.

• Modeling and analysis of financial markets

• V-Lab: real time financial volatility and correlation measurements, modeling and forecasting
• The Society for Financial Econometrics (SoFiE)
• "Robert F. Engle (1942– )".The Concise Encyclopedia of Economics.Library of Economics and Liberty (2nd ed.).Liberty Fund. 2008.
• Robert F. Engle at theMathematics Genealogy Project 
• Appearances onC-SPAN