You can create these shaders in the SHOP. Environment includes atmosphere nodes and background nodes.
There are two types of atmosphere in Arnold, fog, and atmosphere_volume. Fog simulates the effect of light scattering, which causes more distant objects to appear lower in contrast, especially in outdoor environments. Atmosphere_volume simulates light scattered by a thin, uniform atmosphere. It produces shafts of light and volumetric shadows cast from geometric objects.
It is not possible to render both fog and atmosphere_volume in the same scene.
To add some atmosphere or background to a scene, first, create a shader in the SHOP. Double click to enter the VEX Builder and Tab-type (Custom > Fog / Atmosphere Volume / Sky). Connect the output of the atmosphere nodes to the atmosphere parameter of the environment output node and the sky node to the background parameter.
atmosphere_volume & background -> OUT_environment inside an Arnold Shader Network