The volume is an important part of how Gran Turismo games function - it usually consists of a single file hosting all of the games' contents. It is usually compressed, but also encrypted and has been present in various forms since GT1.
Building game contents into volumes/file systems allows control over files are read. It is more performance efficient to seek throughout the file to access contents than make a request to the console's kernel to open a file.
As of GT7, tools to extract volumes exist for all games: