An archive file in Outlook 2016 for Mac is a .olm file that you can save to any location on your Mac or on a different machine for safekeeping. You can export your email, contacts, calendars, tasks, or notes to the .olm archive file. Here's how:
On the Tools tab, choose Export.
In the Export to Archive File (.olm) box, check the items you want to export, and choose Continue.
In the Save As box, under Favorites, choose the Downloads folder, and click Save.
Once your data has been exported, you'll get a notification and you'll choose Finish.
I want to export to iCloud or to some other type of archive file
The only export option available at this time is the .olm archive file. To request additional export options, visit the Outlook Suggestion Box to leave your feedback. The Outlook team is actively monitoring this forum.