Game Modes

GameModes or GameMode is a class that the Unreal Engine utilizes for each map inside GameMode The game mode also specifies

1. Default Pawn Class
2. HUD Class
3. Player Controller Class
4. Game State Class
5. Player State Class
6. Spectator Class

In The World Settings of the map you can specify a game mode

If the World Settings Panel isn't showing, open your map(or select your map tab), than click on Window->World Settings

If you want to create your own game mode you can simply create a new blueprint class that inherits from GameMode