Implementation of the Gibbs Sampler for Stochastic Volatility Estimation
For the notation and details used in the code, you can read the "Bayesian Analysis of Stochastic Volatility Model And Estimating Volatility with Gibbs Sampler" project in my web-site.
Close prices of Dow Jones S&P 500 stock index from August 14, 2015 to May 1, 2016 are in the SP500.csv file.