The article provides a practical guide on forecasting financial market volatility. It covers definitions, estimation methods, and evaluation of volatility forecasts. Various models like ARCH, GARCH, long memory models, stochastic volatility, and multivariate volatility models are discussed. The Black-Scholes formula for option pricing is also explained. Key findings include the importance of accurately predicting market volatility for making informed financial decisions and the effectiveness of different forecasting models in capturing volatility patterns.