The volume buttons are located at the base of the touchpad.

To reduce volume, press –.
To increase volume, press +.
You can also use any volume control that is provided by your headphones or headset. However, those volume settings do not affect the volume settings on the controller.
NOTE
When your SHIELD device is connected to a TV, the controller's volume
buttons can mute and unmute the sound but do not affect the TV volume
level. Use your TV remote to control the TV volume level.