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Thank you! The volumetric lighting is actually using a volumetric fog system that is provided as part of Unreal Engine. For more information about it you can check this out: https://docs.unrealengine.com/en-us/Engine/Rendering/LightingAndShadows/Volumetr...

After enabling the volumetric fog, I disabled it for my overhead lights and then cranked up the "Volumetric Scattering Intensity" for the spotlights attached to my lamps etc. until it looked right. On my laptop (gtx1060) at 60fps, the volumetric fog took ~3ms. A bit expensive, but I don't have much going on in my scene so it seemed doable. 

Hope that helps!