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The aim of the paper is to investigate the link between ARCH models and the complete model with stochastic volatility of \\textit{David G. Hobson} and \\textit{L. C. G. Rogers} [Math. Finance 8, No. 1, 27--48 (1998; Zbl 0908.90012)]. Under a simple assumption on the rate of convergence of the parameters, the discrete-time model, which is conditionally heteroscedastic, converges to the diffusion process, that is a complete model with stochastic volatility. This diffusion approximation result provides a numerical scheme, to approximate the Hobson and Rogers model. The stationary and moment properties of the model are studied. 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