How Can I Make My Archives List by Year?

I would love for my Archives in the sidebar not only to list by year (i.e. everything under 2012, 2013, 2014, etc.) but also to rename them as periodical-like volumes. Said another way, I would like the Archives to be listed as Volume 1: 2012, then Volume 2: 2013, etc.

There should be a way (or a plugin) to do this, but I cannot figure it out. Can anyone offer some straightforward advice?

The page I need help with: [log in to see the link]