We study the Olsen model for the peroxidase-oxidase reaction. The dynamics is analyzed using a geometric decomposition based upon multiple time scales. The Olsen model is four-dimensional, not in a standard form required by geometric singular perturbation theory and contains multiple small parameters. These three obstacles are the main challenges we resolve by our analysis. Scaling and the blow-up method are used to identify several subsystems. The results presented here provide a rigorous analysis for two oscillatory modes. In particular, we prove the existence of non-classical relaxation oscillations in two cases. The analysis is based upon desingularization of lines of transcritical and submanifolds of fold singularities in combination with an integrable relaxation phase. In this context our analysis also explains an assumption that has been utilized, based purely on numerical reasoning, in a previous bifurcation analysis by Desroches, Krauskopf and Osinga [Discret. Contin. Dyn. Syst. S, 2(4), p.807-827, 2009]. Furthermore, the geometric decomposition we develop forms the basis to prove the existence of mixed-mode and chaotic oscillations in the Olsen model, which will be discussed in more detail in future work.