Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities

► A proposal of a joint modelling of fossil fuel, CO2 and electricity prices is presented in this work. ► Comparison of several univariate and multivariate models in terms of prediction accuracy for these series. ► Conditionally heteroskedastic dynamic factor model for extracting common features in the multivariate volatility. ► Common volatility factors extracted allows to enhance forecasting intervals and have an economical interpretation. ► Starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.