This paper introduces high-frequency country specific financial stress indices (FSIs) for selected ASEAN+3 economies, which are valuable tools for macro-financial surveillance. Firstly, they closely align with regional and global financial stress events. Secondly, when fitted with univariate regime switching models, they serve to identify transitions between low-, medium-, and high stress regimes in real time. Finally, in some economies, momentum-based technical analysis methods can predict regime changes ahead of time with reasonable accuracy, relying solely on the information embedded in the indices. The short-term advance warning may suffice for market practitioners’ hedging and tactical decisions, and to alert policy makers about impending distress in the financial sector enabling them to adopt measures aimed at reducing market volatility.