<p>In light of the frequent occurrence of various extreme risk events, clarifying the volatility spillover of financial institutions helps to delineate the risk transmission mechanisms of Chinese financial institutions, thereby preventing and resolving major risks in China. This paper analyzes the asymmetric volatility spillover effects of the risk transmission mechanism of Chinese financial institutions from the perspective of frequency domain decomposition. First, using intraday high-frequency data to characterize good and bad volatility spillovers, and employing frequency domain decomposition based on the generalized variance decomposition spectrum, we decompose volatility spillovers in the time domain into low-frequency spillovers and high-frequency spillovers. Second, constructing different volatility spillover indexes, we analyze the spillover effects of financial institutions at the systemic, sectoral, and institutional levels. Finally, we construct an asymmetric volatility spillover index to quantify the asymmetry of volatility spillover. We conclude the following empirical results. First, the system-level volatility spillover is at a high-level during crisis periods and is mainly dominated by high-frequency spillovers. Second, the banks and brokerages have higher spillover effects, while the insurance companies have the lowest spillover effects. The significant increase in inter-sector volatility spillover during crisis periods is the main reason for the increase in system-level volatility spillover. Third, there is an obvious asymmetric volatility spillover effect in the financial market. These studies provide valuable insights for investors and decision-makers into the asymmetric volatility spillover effects of China’s financial institution risk transmission mechanisms. They are of significant importance for regulatory authorities in preventing systemic financial risks.</p>