BAYESIAN-ANALYSIS OF STOCHASTIC VOLATILITY MODELS - COMMENT

This article contains comments on ''Bayesian Analysis of Stochastic Volatility Models,'' by Jacquier, Polson, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.