Holiday Schedules are how you configure what holidays your company observes.  They are added to groups so you can have different holidays for different users.  Holidays are added to Holiday Schedules, similar to how Groups themselves work.

Head under Configuration to Holiday Schedules to Manage Holiday Schedules

Create a new Holiday Schedule

Put your Holiday Schedule name in the indicated field.  This can be something as simple as "Holidays 2018", or as complicated as "Development Holidays 2018".  

Finally click Save.

Adding a Holiday Schedule to a Group

In order for your users to see the holidays in your new Schedule the Schedule must be in at least one of the Groups that the user is in.

Holiday Schedules are added to a group the same way that any objects are.  The Holiday Schedules section is at the bottom of the Group configuration page.