Mastering Volumetric Fog in Unreal Engine

Let's take a look at this sunrise scene.

Steps:

1. Add light to environment (directional light which is our sunlight). 
2. Add skylight - our indirect lighting. Skylight captures cubemap of surrounding geometry and projects lighting onto the world, which gives realistic indirect lighting. Recently it was improved. Now it offers multiple skylight bounces, which greatly improve quality of indirect lighting in interiors. Skylight also offers now higher precision (from version 4.18) - it looks more pretty out of the box, without any adjustments or tweaking settings. The last change was introduction of Volumetric Lightmaps, which improve the lighting of movable objects.
3. Add Exponential Height Fog. Enable "Volumetric Fog" parameter which will change color of Volumetric Fog. If this setting is enabled, color of fog is taken from Volumetric Lightmaps mentioned before, which means that fog is lit according to your scene lighting. Volumetric Fog respencts lights in the scene and it is lit by spot, point and directional lights, and even particle systems.
4. If you enable shadows in your Direct Light, volumetric fog will be occluded in the areas, where light meets an obstacle (like leaves and branches of a tree).
5. For further improvements you can enable Light Shafts (darkening fog) and Bloom (lightening fog) of Direct Light.
6. You can change density and color of fog in different areas of your scene using Volume Materials. They allow you to create local volumetric fog.

Material settings:

• Create Volume Material
• Change Blend Mode to Additive
• Create Particle System
• Assign Volume Material
• Change size of particles (make them big)
• Now we can make some local clouds.

You can assign volumetric fog to mesh and make the mesh invisible, so you can achieve fog in any shape you desire. Watch video from 17:35 for details.

You can watch detailed explanation of all these steps in the following video: