In this book, the volatility phenomenon, which is at the center of the dynamism in financial markets, is discussed in detail. Thus, it is aimed to guide market participants in making strategic decisions. The study consists of three parts. In the first section, basic information on volatility is provided and the role of this phenomenon in financial markets is discussed. In the second section, the models used in volatility forecasting are explained and compared in detail. The third section introduces implied volatility indices, which represent an innovative perspective, embedding volatility in a market-based expectation and enabling volatility trading outside the traditional framework through derivatives. Overall, this book is expected to contribute to a better understanding of the volatility phenomenon in financial markets.