You can easily change favicon in Joomla using the following steps.
First Create your Favicon with the dimensions 16x16 pixels, once you create it save it by using the name "favicon.ico". We can easily generate favicon using the free online generators.
Next is to upload your favicon under template directory for example if taking as an example of protostar favicon will be uploaded here.
Clear your browser cache.
Refresh your page, then you should be able to see your new Favicon on your website