Commodity prices are subject to extreme price volatility and are a prominent source of risk for treasurers. The current geopolitical uncertainty is one of the main causes behind the recent uptick in volatility in many markets, complicating the ability of a treasurer to manage risk. Inevitably, the dairy sector is also affected by these developments and is on the lookout for more advanced market risk management tools. One promising tool is volatility modeling. This paper focuses on how volatility modeling can benefit commodity traders by dynamically managing price risk in the European Union (EU) dairy market with time series models.