We have obtained an XMM-Newton observation and a broad-band spectrum from the ultraviolet to the near infrared with X-Shooter for one of the nearest M9 dwarfs, DENIS-P J1048-3956 (4pc). We integrate these data by a compilation of activity parameters for ultracool dwarfs from the literature with the aim to advance our understanding of these objects by comparing them to early-M type dwarf stars and the Sun. Our deep XMM-Newton observation has led to the first X-ray detection of DENIS-P J1048-3956 (log Lx = 25.1) as well as the first measurement of its V band brightness (V = 17.35mag). Flux-flux relations between X-ray and chromospheric activity indicators are here for the first time extended into the regime of the ultracool dwarfs. The approximate agreement of DENIS-P J1048-3956 and other ultracool dwarfs with flux-flux relations for early-M dwarfs suggests that the same heating mechanisms work in the atmospheres of ultracool dwarfs, albeit weaker as judged from their lower fluxes. The observed Balmer decrements of DENIS-P J1048-3956 are compatible with optically thick plasma in LTE at low, nearly photospheric temperature or optically thin LTE plasma at 20000K. Describing the decrements with CaseB recombination requires different emitting regions for Halpha and the higher Balmer lines. The high observed Halpha/Hbeta flux ratio is also poorly fitted by the optically thin models. We derive a similarly high value for the Halpha/Hbeta ratio of vB10 and LHS2065 and conclude that this may be a characteristic of ultracool dwarfs. We add DENIS-P J1048-3956 to the list of ultracool dwarfs detected in both the radio and the X-ray band. The Benz-Guedel relation between radio and X-ray luminosity of late-type stars is well-known to be violated by ultracool dwarfs. We speculate on the presence of two types of ultracool dwarfs with distinct radio and X-ray behavior. ; Comment: accepted for publication in Astronomy & Astrophysics