ABSTRACTIn this paper, we empirically examine the predictive power of oil price uncertainty on time‐varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil‐market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.