Crude oil markets are one of the most volatile commodity markets. The effect of shocks on volatility is of concern to policy makers and market participants. A better understanding of how shocks affect volatility over time would be helpful to participants of financial markets. This article investigates effect of outliers in three markets—Brent, West Texas Intermediates (WTI) and Organization of Petroleum Exporting Countries (OPEC). We compare forecasting and Value at Risk (VaR) estimation accuracy of GARCH family models with and without outlier adjustment and conclude that conditional volatility models work better on outlier adjusted data with respect to out-of-sample performance but not necessarily with respect to VaR estimation. Furthermore, we conclude that VaR violations in crude oil markets are independent.