This paper presents a data-driven finite volume method for solving 1D and 2D hyperbolic partial differential equations. This work builds upon the prior research incorporating a data-driven finite-difference approximation of smooth solutions of scalar conservation laws, where optimal coefficients of neural networks approximating space derivatives are learned based on accurate, but cumbersome solutions to these equations. We extend this approach to flux-limited finite volume schemes for hyperbolic scalar and systems of conservation laws. We also train the discretization to efficiently capture discontinuous solutions with shock and contact waves, as well as to the application of boundary conditions. The learning procedure of the data-driven model is extended through the definition of a new loss, paddings and adequate database. These new ingredients guarantee computational stability, preserve the accuracy of fine-grid solutions, and enhance overall performance. Numerical experiments using test cases from the literature in both one- and two-dimensional spaces demonstrate that the learned model accurately reproduces fine-grid results on very coarse meshes.