Oils have different burning/smoking points. When you cook with high heat, you want to use an oil with a high smoke point (coconut oil, grape seed, avocado). Things like Olive Oil are best when not heated, in that they retain most of their nutrients when cold.
Olive oil should be used for cold applications and very low temp cooking. Unsaturated fat is fragile and breaks down under heat. Coconut oil and ghee should be used for higher temperature cooking. Saturated fat is more stable under heat.