Saturated fats are stable and do not oxidize even at high heat cooking temperatures including deep frying. However, high heat cooking will definitely oxidize polyunsaturated oils and to a certain extent monounsaturated oils (such as olive oil), which then creates harmful free radicals.
Unsaturated fats exposed to high heat and oxygen during cooking or commercial food processing, undergo a chemical change known as auto-oxidation, whereby free radicals are produced that cause rancidity. Up until the early 1980's, restaurants and fast food establishments used saturated lard, lamb or beef tallow fat for all their sauteing and deep frying. Sadly today, restaurants almost exclusively use polyunsaturated oils like canola, soy and corn.