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DECEMBER 8-12, 2008

Why is global financial volatility so high?

Prof. Robert Engle

Keynote Speaker

Professor Robert Fry Engle III is a 2003 Nobel Laureate for Economics and the Michael Armellino Professor of Finance at New York University's Stern School of Business.

Robert Engle graduated from Williams College with a B.S. in physics. He earned an M.S. in physics and a Ph.D. in economics, both from Cornell University in 1966 and 1969 respectively. After completing his Ph.D. Robert Engle became Professor of Economics at the Massachusetts Institute of Technology from 1969 to 1975. He joined the faculty of the University of California at San Diego (UCSD) in 1975 where he became a professor in 1977 and later the chair in economics. He now holds positions of Professor Emeritus and Research Professor at UCSD and has also held associate editorships on several academic journals, notably the "Journal of Applied Econometrics" of which he was co-editor.

In 2003 Professor Engle shared the Nobel Prize for Economics with Professor Clive W.J. Granger from UCSD for developing "methods for analyzing economic time series with time-varying volatility". He conducted much of his prizewinning work in the 1970s and '80s, when he developed improved mathematical techniques for the evaluation and more-accurate forecasting of risk, which enabled researchers to test if and how volatility in one period was related to volatility in another period. This work had particular relevance in financial market analysis in which the investment returns of an asset were assessed against its risks and in which stock prices and returns could exhibit extreme volatility.

While periods of strong turbulence caused large fluctuations in prices in stock markets, these were often followed by relative calm and slight fluctuations. Inherent in Professor Engle's autoregressive conditional heteroskedasticity (known as ARCH) model approach was the concept that, while most volatility is embedded in the random error, its variance depends on previously realized random errors, with large errors being followed by large errors and small by small. This contrasted with earlier models wherein the random error was assumed to be constant over time.

Professor Engle's methods and the ARCH model led to a proliferation of tools for analyzing stocks and enabled economists to make more accurate forecasts. Robert 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. These statistical models have become essential tools of modern asset pricing theory and practice.

Professor Engle's long-standing interest continues to be in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as co-integration, common features, autoregressive conditional duration (ACD), CAViaR and dynamic conditional correlation (DCC) models.

While Professor Engle's work in financial econometrics covers equities, interest rates, exchange rates and option pricing, he is currently developing methods to analyze large systems of assets, real-time volatility, market microstructure and extreme market movements. He has published more than 100 academic papers and authored four books.


Monday, December 8, 2008:
14:00 Keynote speech and dialogue at the University of the Thai Chamber of Commerce in Bangkok
Information and free seat reservation:
phone (02) 697-6861-2, fax (02) 277-1803, email,

Wednesday, December 10, 2008:
14:30 Keynote speech and dialogue hosted by the Malaysian Institute of Economic Research (MIER) at the Hilton Hotel in Kuala Lumpur
Information and free seat reservation:
phone (03) 2272-5895, 2273-0091, fax (03)2273-0197, email,

Thursday, December 11, 2008:
14:30 Keynote speech and dialogue with former Prime Minister Tun Dr. Mahathir bin Mohamad hosted by the Perdana Leadership Foundation at the Auditorium of Putrajaya Corporation
Information and free seat reservation:
phone (03) 8885-8953, 8885-8960, fax (03)8889-1166, email,

Friday, December 12, 2008:
10:00 Keynote speech and dialogue at the Universiti Tenaga Nasional (UNITEN) in Kajang
Information and free seat reservation:
phone (03) 8928-7104, 8928-7105, fax (03)8921-2119, email