Robert F. Engle III


DEFINITION of 'Robert F. Engle III'

An American economist who won the 2003 Nobel Memorial Prize in Economics, along with Clive Granger, for his analysis of time-series data with time-varying volatility. Time-varying volatility is the fluctuation over time of the value of financial instruments, and Engle's discoveries of the variations in these instruments' volatility levels have become crucial tools for researchers and financial analysts alike. The model he developed is called autoregressive conditional heteroskedasticity, or ARCH.


Engle III was born in 1942 in New York and earned his Ph.D. in economics from Cornell University. He has taught at the Massachusetts Institute of Technology, the University of California at San Diego and New York University.

  1. Time-Varying Volatility

    Fluctuations in volatility over time. Volatility is the standard ...
  2. Autoregressive Conditional Heteroskedasticity ...

    An econometric term used for observed time series. ARCH models ...
  3. Economist

    An expert who studies the relationship between a society's resources ...
  4. Generalized AutoRegressive Conditional ...

    An econometric term developed in 1982 by Robert F. Engle, an ...
  5. Time Series

    A sequence of numerical data points in successive order, usually ...
  6. Heteroskedasticity

    In statistics, when the standard deviations of a variable, monitored ...
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