Recently WordPress included the favicon icon support in the core.

Now you can change it by following below steps.Follow the below steps to set favicon in your site.

1. Prepare image file. If you dont know how to prepare Favicon icon, please search on Google, there are plenty of resources on same.
2. Go to Administration Screen > Appearance > Customize.
3. Click Site Identify.
4. Click Select Image at Site Icon section, upload the image file you prepared in the above step from Upload Files tab screen, and click Select.

The image you set above will be used on many places like App icons, Favicon etc.