The report of the 20th National Congress of the Communist Party of China has clearly stated that it is necessary to improve modern financial supervision and strengthen the financial stability guarantee system. Despite the dramatic volatility of global capital markets in recent years and the increasing fragility of the financial system, there is still little literature that combines the new perspective of good and bad volatility to predict systemic risk. Most previous studies rely on lowfrequency financial data, such as daily, weekly, or monthly data, ignoring the rapid intraday evolution of financial volatility. In view of these facts, based on a systematic and comprehensive summary of existing good and bad volatility indicators, this paper uses intraday highfrequency yield data from China’s stock market to measure the good and bad volatility related indicators and investigates the potential relationship between good and bad volatility, stock returns, and systemic risk. Then, dominance analysis is used to investigate the contribution of different good and bad volatility indicators to China’s systemic risk and to further explore the good and bad volatility drivers of systemic risk in different industries. Finally, this paper further points out that if we do not distinguish the intrinsic nature of financial market volatility, it may lead to misjudgment of future systemic risk exposure. On this basis, this paper puts forward relevant policy suggestions to provide an important reference for China to take the initiative to prevent and resolve systemic risks and build a financial risk firewall.