Amid the heightened global economic uncertainty and increased volatility in the international crude oil market, this chapter analyzes the intraday and overnight trading volatility characteristics and apply them in forecasting oil futures price volatility. Using the daily trading data of continuous futures contracts from March 20, 2018, to December 31, 2024, we find that there are significant differences in the volatility transmission effects of the Shanghai crude oil futures market during different trading periods. In particular, the volatility spillover effect of the overnight market on the intraday market is more pronounced. Specifically, the overnight market’s volatility spillover effect shows a gradually increasing trend at both short-term and long-term frequencies, especially during pandemics and major international events (such as geopolitical conflicts). Additionally, the volatility prediction based on spillover effects can significantly increase the forecast accuracy, especially in the medium- and long-term forecast periods. Finally, in light of thechallenges of the Shanghai crude oil futures market, this paper proposes policy recommendations such as strengthening the regulation of the overnight market, improving futures market risk hedging tools, and promoting market innovation and development policies.