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. Contagion of economic crisis among the EURO countries during 2010-11 caused cascading changes in the structure of the Government bond markets in the EURO countries. Variant SV models including ones with the time varying parameters and the regime switching are estimated for the government bond yield data before the crisis period and during the period of crisis contagion. The model performance is compared by calculating the marginal likelihoods via the modified harmonic mean method proposed by Geweke (1999) and Watanabe (2009).