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An epic captures a large body of work. It is essentially a large user story that can be broken down into a number of smaller stories. It may take several sprints to complete an epic. 

Epics provide you with an additional hierarchy of story management, providing planning guidance for groups of issues within, or across, projects. This allows ScrumMasters and Product Managers to measure important groups of issues that are all related by a common theme.

See Creating an Epic and Adding an Issue to an Epic.

(Note: In JIRA, epic is a searchable field — see the JIRA JQL documentation for details.)

For more on Epics you may want to read over these two excellent articles: