This paper aims to provide an analysis on the EURO country government bond yields through the application of stochastic volatility model. Stochastic volatility model with Markov chain Monte Carlo method enables us to model the changes over time in underlying volatility in the asset markets. Nakajima (2011) provides with a methodology to capture possible changes in the underlying structure of the market. Recent contagion of economic crisis among the EURO countries has caused cascading changes in the structure of the Government bond markets in the EURO countries. SV model with time varying parameters is estimated using the government bond yield data during the period of crisis contagion. The estimation performance of the model is compared to alternative models.