Favicon, also known as site icon, is the tiny image that appear next to your website title in the browser. It helps your users identify your website more easily. To add favicon, you need to have a square image which is at least 512 pixels. Once you have that, please follow the steps below:

STEP 1: In WP admin panel, go to Appearance > Customize, click Site Identity

STEP 2: At Site Icon section, click Select Image and upload your desired image

To learn more about creating a Favicon in WordPress, please visit HERE