There is not one single volume setting that control all sounds on Android phones. There are different volume controls for voice, media, alarm, notification and ringer. These can be set individually.
The volume rocker on Android phones is context sensitive and will adjust different volume settings depending on what app you are using, if any, and what screen you are on. If you are on your home screen and not in any app, the volume rocker will control the ringer volume. When you are on a call, it will control the voice volume. If you are watching a video or listening to music, it will control the media volume.
There is not one universal volume setting for all of these different sounds. You have to set them individually. You can set each of them by going into the Android system, sound settings. Some apps may also allow you to set the volume level of the appropriate type of sound in that app's settings screen.
You can also use apps and widgets to manage the different sound levels. I highly recommend Volume Widget by Leep Studios:
https://play.google.com/store/apps/details?id=com.leepstudios.VolumeWidget
This widget allows you to set 3 different sound profiles for your phone and change to them with a single tap on the widget.
