This study examines the impact of Crude oil price volatility on the Nigerian economy within the period 2000 to 2016 on monthly basis. It is borne out of the suspicion that crude oil price may be volatile and have impact on the Nigerian Economy. Conditional volatility is estimated with the use of Autoregressive Conditional Heteroskedasticity (ARCH) model and General Autoregressive Conditional Heteroskedasticity(GARCH) model. Structural Vector Autoregressive (SVAR) was used as the analytical technique to carry out the empirical analysis. Using the coefficients of SVAR, the study found that, out of the five variables employed, Crude oil price volatility had significant impact on exchange rates and oil revenue but the impact on interest rates (proxy by maximum lending rate), inflation rates and real income were insignificant. This implies that persistence shock in crude oil price indeed determines the rate at whichthe naira is exchanged for the dollar, as well as the revenue that accrues to the Nigerian government. Variance decomposition analysis shows variations in the variables as a result of volatility in crude oil prices. The impulse response function analysis shows response of each variable to a unit shock in crude oil price volatility reduces over time. The study recommends diversification of the economy through agriculture and taxation, regulation of exchange rate during persistence fluctuation in oil price and encouraging private sectors to build refineries to boost oil exportation.