Abstract

The paper examines the dynamics of financial market volatility and systemic risk during major crisis episodes over the period 2019-2025 using high-frequency intraday data for a broad set of international stock market indices, and proposes a high-frequency, volatility-based indicator designed to signal the emergence of systemic risk. Covering major global and regional stress episodes - including the COVID-19 crisis, the Russia - Ukraine war, and the subsequent energy and inflation shocks - and using five-minute data, the analysis employs a parametric Realized GARCH framework and shows that high-frequency estimates of conditional volatility and volatility shocks provide timely and informative insights into the onset, severity, and cross-market transmission of financial stress. Empirical results reveal that major crises, notably the COVID-19 pandemic and the Russia-Ukraine war, are associated with sharp and persistent increases in volatility across global equity markets, underscoring the suitability of high-frequency volatility for real-time stress monitoring. The paper also proposes a systemic risk indicator designed to detect the early stages of turbulent periods that may evolve into financial crises. The empirical results show that volatility estimated from high-frequency data exhibits pronounced and timely responses to major international shocks and that certain benchmark and regional indices consistently act as leading indicators. In particular, increases in conditional volatility in major global markets and in neighboring countries precede similar developments in small open economies, highlighting the dominant role of international spillovers in shaping domestic financial stress. The findings suggest that the proposed volatility-based systemic risk indicator can provide valuable early warning signals for policymakers and market participants, enabling more timely and informed responses to emerging systemic risks for better systemic risk monitoring and macroprudential policy analysis.