Blender | Notes on Volume
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- Blender
Applying It to World Space
I tried applying Volume to the entire World space using a node setup like this.Density: adjusts the density of the scattering effect.Anisotrop: adjusts the look of the scattering based on the direction of light passing through.

▼ Without Volume ▼

▼ With Volume ▼

You can sense the presence of light, similar to god rays.
Applying It Partially with a Cube
Add a Cube sized to match the area you want to cover with Volume, like this.

For the material, add Principled Volume.Density: adjusts the density of the Volume.

▼ Result After Adding It ▼

Summary
It seems like the approach changes depending on whether you want to apply it across the whole world, or just partially / inside a specific object (like underwater, for example).