Before revision:  We propose an adaptive recursive estimation routine for GARCH models using the technique of Variance Targeting Estimation (VTE) to alleviate the convergence difficulties encountered in the usual QML estimation .
After revision:  We propose an adaptive recursive estimation routine for GARCH models named AdaVol is presented. The AdaVol procedure relies on stochastic approximations combined with the technique of Variance Targeting Estimation (VTE) to alleviate the convergence difficulties encountered in the usual QML estimation .