The acceleration of the globalization process and the deepening integration between financial markets have significantly increased the sensitivity of price movements in national markets to global dynamics. With this transformation, financial volatility has ceased to be merely technical data expressing the standard deviation in asset prices; it has become a multidimensional and dynamic phenomenon that shapes investor behavior, capital costs, and global risk appetite. In fact, today, volatility has gained the quality of an independent asset class that can be traded through derivative products, rather than just being a risk measure. The aim of this study is to examine the causes of volatility formation in financial markets, its types, cross-market spillover mechanisms, and its macroeconomic consequences on the real economy from a holistic perspective. Within the scope of the study, the theoretical foundations of volatility are discussed; historical, implied, and intraday realized volatility measurement methods and their reflections in securities and foreign exchange markets are detailed. The evaluations made show that volatility is affected by factors such as macroeconomic shocks, policy uncertainties, and information flow; and in times of crisis, it spreads rapidly between markets through financial contagion channels. It has been determined that increasing market correlations, especially in times of uncertainty, weaken portfolio diversification advantages and trigger a "flight to safety" tendency among investors. Furthermore, it has been concluded that high volatility causes the postponement of investment decisions in the real sector, tightens credit conditions, and suppresses economic activity. Consequently, the accurate modeling of volatility and its spillover effects carries strategic importance for both investors to develop effective portfolio and risk management strategies and for policymakers to take measures that support financial stability.