Robert Engle (born 1942) is the genial American economist who noticed something
everyone had been ignoring: in financial markets, the calm and the chaos come in clumps.
Quiet weeks follow quiet weeks; wild days cluster with other wild days. His model for that,
Engle started out as a physicist — he earned a physics degree and began a PhD in it before the pull of economics won out. That training left a mark: he approached markets the way a physicist approaches a noisy signal, looking for structure in the fluctuations rather than just the averages. It is exactly that instinct — model the wobble, not just the level — that led him to ARCH.
Classical models assumed the "noise" in a series had a constant size. Engle's 1982 insight was
that in finance the noise breathes: its variance changes over time and, crucially,
depends on recent shocks. A big move today makes a big move tomorrow more likely. This is
Engle is famous among colleagues for being unfailingly cheerful and approachable — not the brooding-genius stereotype at all. He is also a devoted skier, happy to spend a Nobel-laureate's spare time carving down a mountain. There's a pleasing symmetry to it: a man who spent his career measuring how sharply things can plunge, choosing to relax by pointing himself downhill on purpose.
The fuller story is on Wikipedia: Robert F. Engle — Wikipedia.