On April 6th, students and alumni celebrated the 10th Anniversary of the MSGF program at NYU Stern in New York. To commemorate the program and the successful partnership between two renowned universities, attendees had the privilege of hearing from Nobel Laureate and NYU Stern professor, Robert Engle. The discussion focused on the prospects of global financial stability -- a timely topic given the current geopolitical atmosphere.
Professor Robert Engle was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. 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.