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If you use a Bluetooth audio device (headphone or speaker) that is not AVRCP compatible, you can't change the volume by adjusting it on the Walkman player. If this is the case, you should control the volume on the connected Bluetooth device (e.g. modify the volume on the speaker, not the Walkman).
AVRCP stands for Audio/Video Remote Control Profile. It's a Bluetooth profile that allows you to remotely control music playback (Play - Pause - Stop - Next - Previous). You can usually consult the available Bluetooth profiles in your device specifications.