Biography
Engle was born in Syracuse, New York into a Quaker family and went on to graduate from Williams College with a B.S. in physics. He earned a M.S. in physics and a Ph.D. in economics, both from Cornell University, in 1966 and 1969 respectively. After completing his PhD, Engle taught at the Massachusetts Institute of Technology from 1969 to 1975. He joined the faculty of the University 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 joined New York University's Stern School of Business in 2000 and is now professor emeritus of finance and co-director of its Volatility and Risk Institute.
Engle's most important contribution was his path-breaking discovery of a method for analyzing unpredictable movements in financial market prices and interest rates. Accurate characterization and prediction of these volatile movements are essential for quantifying and effectively managing risk. For example, risk measurement plays a key role in pricing options and financial derivatives. Previous researchers had either assumed constant volatility 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 modern arbitrage pricing theory and practice.
Engle was the central founder and director of NYU-Stern's Volatility Institute which publishes weekly data on systemic risk across countries on its V-LAB site. He was awarded a Doctor Honoris Causa by the Comillas Pontifical University in Spain in 2024.
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