Deregulated market and increased application of financial instruments helped to improve market transparency in order to ensure continuous supply and reduce the risk of collapse of the power system, but also the possible negative consequences on the company's operations due to sudden price changes. Croatian market follows trends in the energy field as it has also moved to a new model of deregulated markets and thus it became possible to increase competitiveness. Further, the Croatian stock market electricity power exchange has recently started to work for the day ahead market modeled on the Nord Pool market. Given that electricity prices are dependent on many determinants, market movements are not easy to predict. Market stakeholders are looking to establish a more accurate model for predicting the rates and determine possible ways of hedging. In this paper, predicting price movements and thus the risk premium was aimed to determine with the GARCH (1,1) model. It was found that the volatility of prices accurately follows the fall or rise in yields which helped in determining the behavior of a risk premium. Using the Sharpe ratio market risk was calculated which has shown that the average value of such a premium is positive which is consistent with research in this area. Companies whose business activities are related to the movement of electricity prices are sensitive to any sign of price volatility and therefore have a need to use different means of risk management, of which the most widely used are financial derivatives such as forwards, futures and options. Brief analysis was conducted in order to find out the means by which the various stakeholders in the market protect their companies against the negative risks. It was found that almost all companies use some way of hedging, depending on the size of the company and the market in which they operate.